Consider the following expected returns, volatilities, and correlations: Correlation Expected Standard with Return Deviation Duke Energy Correlation with Microsoft Correlation with Wal-Mart Stock Duke Energy Microsoft Wal-Mart 14% 44% 23% 6% 24% 14% 1.0 -1.0 0.0 -1.0 1.0 0.7 0.0 0.7 1.0 The volatility of a portfolio that is equally invested in Duke Energy and Microsoft is closest to A) 8.1% B) 9.0% C) 10.8% OD) 5.4%