Consider the following expected returns, volatilities, and correlations: Expected Standard Correlation with Correlation with Stock Return Deviation Duke Energy Microsoft Duke Energy 14% 6% 1.0 - 1.0 Microsoft 44% 24% - 1.0 1.0 Wal-Mart 23% 10% 0.0 0.7 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. 17.5% OB. 3.5% OC. 0.6% OD. 5.8%