Question: Use the table for the question(s) below. Consider the following expected returns, volatilities, and correlations: Stock Duke Energy Microsoft Wal-Mart Expected Return 14% 44% 23%

Use the table for the question(s) below. Consider the following expected

Use the table for the question(s) below. Consider the following expected returns, volatilities, and correlations: Stock Duke Energy Microsoft Wal-Mart Expected Return 14% 44% 23% Standard Deviation 6% 24% 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 Consider a portfolio consisting of only Duke Energy and Microsoft. The percentage of your investment (portfolio weight) that you would place in Duke Energy stock to achieve a risk - free investment would be closest to: O A. 23% OB. 10% O C. 15% D. 80%

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