Please show all work and formulas

Consider the following expected returns, volatilities, and correlations: Stock Duke Energy Microsoft Wal-Mart Expected Standard Return Deviation 12% 6% 46% 24% 23% 14% Correlation with Duke Energy 1.0 - 1.0 0.0 Correlation with Microsoft - 1.0 1.0 0.7 Correlation with Wal-Mart 0.0 0.7 1.0 The expected return of a portfolio that is equally invested in Duke Energy and Microsoft is closest to: A. 44% B. 15% C. 13% D. 29%