Two assets have returns $R_1, R_2$ with variances $\sigma_1^2, \sigma_2^2$ and correlation $\rho$. The variance of a portfolio with weight $w$ in asset 1 and $(1-w)$ in asset 2 is $\sigma_p^2 = w^2 \sigma_1^2 + (1-w)^2 \sigma_2^2 + 2w(1-w) \rho \sigma_1 \sigma_2$. To minimize variance, what is the weight $w$?