Overview
Given two assets with volatility {% \sigma_1 %} and {% \sigma_2 %} and correlation {% \rho %}, the volatility of a portfolio of the two assets is
{% \sigma_{port} = \sqrt{\sigma_1^2 + \sigma_2^2 + 2 \sigma_1 \sigma_2 \rho } %}
If each {% \sigma_i %} is identified as the length of two sides of a triangle, with
{% \rho = - cos \theta %}
({% \theta %} being the angle between the two sides), then
{% \sigma_{port} %} can be seen as the length of