Your client requests a portfolio of Intel and Coca-Cola. Intel's volatility is 50% and Coca-Cola's volatility is 25%.

You calculate a correlation coefficient of 0.20.

Can you create a 2-asset portfolio that has a lower variance than the assets in isolation?

No, no matter the weights we cannot achieve a portfolio with variance lower variance than the assets in isolation

Yes, if we choose the weights properly, we can achieve a portfolio with variance lower variance than the assets in isolation