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% % 1 6 0.0 0.7 1.0 The volatility of a portfolio that is equally invested in Wal-Mart and Duke Energy is closest to: A. % 8 . 5 B. % 2 5 . 6 C. % 0 . 9 D. % 5 . 1