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%

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 Correlation with Microsoft with Wal-Mart -1.0 0.0 1.0 0.7 0.7 1.0 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 Correlation with Microsoft with Wal-Mart -1.0 0.0 1.0 0.7 0.7 1.0