Consider the following expected returns, volatilities, and correlations:

Stock	Expected Return	Standard Deviation	Correlation with Duke Energy	Correlation with Microsoft	Correlation with Walmart
Duke Energy	14%	6%	1.0	-1.0	0.0
Microsoft	44%	24%	-1.0	1.0	0.7
Walmart	23%	14%	0.0	0.7	1.0

You create a 2 stock portfolio with $1,000,000. If you invest $600,000 in Walmart and the rest in Microsoft, what is the standard deviation of your portfolio?

31.4%

18.75%

16.60%

2.76%