Understanding portfolio-level risk models
I think this is more of a finance question. Assuming portfolio here refers to an investment of two assets, then 

To determine the portfolio risk therefore, you'd need to either predict, or use historicals for $\sigma_1$, $\sigma_2$, $Cov_{1,2}$

Formula from: http://www.investopedia.com/exam-guide/cfa-level-1/portfolio-management/portfolio-calculations.asp