Consider the following expected returns, volatilities, and correlations: ExpectedStandard Correlation with Correlation with Correlation with Return DeviationDuke Energy Stock Duke Energy | 14% Microsoft Wal-Mart Microsoft Wal-Mart 0.0 0.7 .0 6% 44% 25% 0.0 0.7 12% The volatility of a portfolio that is equally invested in Wal-Mart and Duke Energy is closest to A) 20.1% B) 6.7% C) 4096 D) 0.7%