Question: PLEASE SHOW WORK Consider the following expected returns, volatilities, and correlations: Stock Expected Return Standard Deviation Correlation with Duke Energy Correlation with Microsoft Correlation with

PLEASE SHOW WORK

Consider the following expected returns, volatilities, and correlations:

Stock

Expected

Return

Standard

Deviation

Correlation with

Duke Energy

Correlation with

Microsoft

Correlation with

Wal-Mart

Duke Energy

14%

6%

1.0

-1.0

0.0

Microsoft

44%

24%

-1.0

1.0

0.7

Wal-Mart

23%

14%

0.0

0.7

1.0

The volatility of a portfolio that is equally invested in Duke Energy and Microsoft is closest to ________. (Please show detailed work.)

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