Consider a mean-variance portfolio model with two securities, S(A) and S(B) , where the expected return and the variance of return for S(B) are twice the corresponding values for S(A) . Suppose the correlation between the returns on the two securities is ρ

answer the question by calculating the variance of the return on a portfolio with weights x(A) and x(B) invested in the two asset.

What are your thoughts so far?