Consider the following expected returns, volatilities, and correlations: Expected Standard Correlation with Correlation with Stock Return Deviation Duke Energy Microsoft Duke Energy 14% 1.0 - 1.0 Microsoft 44% 24% - 1.0 1.0 Wal-Mart 23% 16% 0.0 0.7 9% Correlation with Wal-Mart 0.0 0.7 1.0 The volatility of a portfolio that is equally invested in Wal-Mart and Duke Energy is closest to: O A. 9.2% B. 0.9% O C. 27.5% OD. 5.5%