Consider the following expected returns, volatilities, and correlations: Expected Standard Correlation with Correlation with Correlation with Stock Return Deviation Duke Energy Microsoft Wal-Mart Duke Energy 13% 6% 1.0 -1.0 0.0 Microsoft 47% 24% -1.0 1.0 0.7 Wal-Mart 23% 14% 0.0 0.7 The expected return of a portfolio that is equally invested in Duke Energy, Microsoft, and Wal-Mart is closest to 1.0 35% 28% 149 30%