So, per the title, why would a combination of two risky assets that have the same exact expected return and standard deviation while being perfectly negatively correlated not return 0%? Why do you just combine the weighted expected return of the two assets to get the expected return at 0 standard deviation?
It seems logical that if asset A goes up by expected return and asset B goes down by the expected return, the portfolio return would be 0.
But in textbooks the expected return of two perfectly negatively correlated assets is just the sum of their weighted expected returns. Why would you not subtract returns since if one goes up, the other goes down (detracting from returns)?