please list out step by step solution and include where the numbers are coming from in equation being used

Consider the following expected returns, volatilities, and correlations: Stock Duke Energy Microsoft Wal-Mart Expected Standard Return Deviation 14% 8% 44% 24% 23% 12% Correlation with Duke Energy 1.0 - 1.0 0.0 Correlation with Microsoft - 1.0 1.0 0.7 Correlation with Wal-Mart 0.0 0.7 1.0 The volatility of a portfolio that is equally invested in Wal-Mart and Duke Energy is closest to: 10 O A. 4.3% OB. 7.2% O c. 21.6% OD. 0.7%