Consider the following expected returns, volatilities, and correlations: Expected Standard Correlation with Correlation with Stock Return Deviation Duke Energy Microsoft Duke Energy 14% 9% 1.0 - 1.0 Microsoft 44% 21% - 1.0 1.0 Wal-Mart 23% 14% 0.0 0.7 Correlation with Wal-Mart 0.0 0.7 1.0 The volatility of a portfolio that is equally invested in Duke Energy and Microsoft is closest to: 3.6% 6% 7.2% 5.4%