Consider the following expected returns, volatilities, and correlations:

Consider a portfolio consisting of only Duke Energy and Microsoft. The percentage of your investment (portfolio weight) that you would place in Duke Energy stock to achieve a risk-free investment would be closest to:

15%

40%

23%

10%

Do not copy from Chegg, otherwise i have to report the answer.

Expected Stock Return Duke Energy 14% Microsoft 44% Wal-Mart 23% Correlation Standard with Duke Deviation Energy 6% 1.0 24% -1.0 14% 0.0 Correlation with Microsoft -1.0 1.0 0.7 Correlation with Wal-Mart 0.0 0.7 1.0