The portfolio is


MATH
where $x$ is the % investing A and $(1-x)$ is the % in B. The expected return is
MATH
The variance is
MATH
Note
MATH
and
MATH
Next we need to compute the covariance
MATH
since MATH is the variance of T. Put everying together we have
MATH
Put $x=0.5$ we get
MATH

MATH

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