$\mu_w = w_1 * \mu_1 + w_2*\mu_2 + \dots + w_n * \mu_n$

$\sigma_w ^2= w_1^2 \sigma_1^2 + w_2^2 \sigma_2^2 + 2 w_1 w_2 \sigma_1 \sigma_2 * \rho_{1,2}$

$\sigma_w = \sqrt{\sigma_w^2}$