The efficient frontier is a relationship between \(E_P\) (expected portfolio return) and \(\sigma_P\) (portfolio standard deviation).
Suppose we invest a proportion \(\alpha\) in asset A. Then we can write down:
$$E_P = 0.05(1 + \alpha) \qquad ; \qquad \sigma_P^2 = 0.04 \alpha^2.$$
We can use these two equations to write \(E_P\) in terms of \(\sigma_P\):
$$E_P = 0.05 + 0.25 \sigma_P.$$