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% 6% 1.0 -1.0 0.0 Microsoft 44% 24% - 1.0 1.0 0.7 Wal-Mart 23% 13% 0.7 1.0 The volatility of a portfolio that is equally invested in Wal-Mart and Duke Energy is closest to: 0.0 O A. 4.3% OB. 7.2% OC. 0.7% OD. 21.5%