If a portfolio's expected return is equal to the weighted average of the expected returns of the

Question:

If a portfolio's is equal to the weighted average of the expected returns of the component securities, why is a portfolio's risk not generally equal to the weighted average of the component securities' standard deviations?
Expected Return
The expected return is the profit or loss an investor anticipates on an investment that has known or anticipated rates of return (RoR). It is calculated by multiplying potential outcomes by the chances of them occurring and then totaling these...