Risk and return for a portfolio of 2 risky assets

Expected return of a two asset portfolio

E(R)= w1 x E(R1) + w2 x E(R2).

Variance of a two-asset portfolio
= w12 x s12 + w22 x s22 + 2 x w1 x w2 x s1 x s2 x Cor(1,2)

The expected return of a portfolio is simply sum of weighted returns of each assets in the portfolio. However, the standard deviation of the portfolio should take the correlation of the assets into account.