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Let $s_1 = r_1 -r_f$ and $s_2 =r_2-r_f$. Then, this is the maximization problem: \begin{align*} & \ \max_{w_1, w_2} SR = \frac{\mu_p}{\sigma_p}, \, \mbox{ subject to}\\ \mu_p = & \ w_1 s_1 + w_2 s_2,\\ \sigma_p^2 = & \ \sigma^2\big(w_1^2 + w_2^2 + 2 w_1 w_2 \rho\big),\\ 1 = & \ w_1+w_2. \end{align*} By certain substitution, we convert the ...


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Intuitively speaking this statement should be clear, as in case the risk-free rate is equal to the expected return of the global minimum variance portfolio you can just assume that the minimum variance portfolio is just an investment into the risk-free rate. Therefore the intersection between the efficient frontier and the tangent line between $r_f$ and the ...



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