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 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 1.0 The expected return of a portfolio that is equally invested in Duke Energy and Microsoft is closest to ________.

_______ A) 45% B) 15% C) 30% D) 14%