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Nope, no expected return variables are included in the portfolio variance equation. It is:
(weight of asset A squared x variance of asset A) + (weight of asset B squared x variance of asset B) + 2 x (weight of asset A) x (weight of asset B) x (correlationAB) x (stand dev A) x (stand dev B)
the expected return of a two asset portfolio uses weighted expected return of individual assets….but not the variance/standard dev of portfolio equation.