Consider the following expected returns, volatilities, and correlations: Expected Standard Correlation with Stock Return Deviation Duke Energy Duke Energy 14% 6% 1.0 Microsoft 44% 24% Wal-Mart 23% 14% 0.0 Correlation with Microsoft -1.0 1.0 0.7 Correlation with Wal-Mart 0.0 0.7 -1.0 1.0 The volatility of a portfolio that is equally invested in Duke Energy and Microsoft is closest to: 8% 9% 6% 11%