Correlation with Microsoft 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% -1.0 Wal-Mart 23% 14% 0.0 -1.0 Correlation with Wal-Mart 0.0 0.7 1.0 1.0 0.7 The expected return of a portfolio that is equally invested in Duke Energy and Microsoft is closest to: 23% 24% 28% 29%