You might even get a signal through with just a single-core cable, no screen, where a cable connects two items of mains-powered equipment (and are in a country civilised enough to provide an earth connection on all power outlets.) Like a telegraph system - there was only one wire, the return was the Earth.
But we often use single-core plus shield. The shield will be grounded. It acts both as signal return and as protection from RF interference.
Where signal levels are low, like a microphone cable, we DO use a 'balanced' connection, two cores plus a seperate screen. In electrically noisy environments such as a TV studio (though they're a lot less noisy since the demise of crt monitors) Line signals are routinely balanced as well. Probably unnecessary in a home studio, though the option is there on much semi-pro equipment. You need a 3-contact connector of course, for the 3 electrical paths. Typically a TRS jack or an XLR-3.