Consider the following expected returns, volatilities, and correlations: Expected Standard Correlation with Correlation with Correlation with Stock Return Deviation Duke Energy Microsoft Wal-Mart Duke Energy 14% 8% 1.0 - 1.0 0.0 Microsoft 44% 24% - 1.0 1.0 0.7 Wal-Mart 23% 14% 0.0 0.7 1.0 The volatility of a portfolio that is equally invested in Duke Energy and Microsoft is closest to: O A. 9.6% B. 8% C. 4.8% D. 7.2%