A stock has an expected return of 16% with a standard deviation of 0.20. Assume you can borrow and lend risk-free at 5%. Assume your portfolio can include this one risky asset and/or the risk-free investment. What is the expected return and standard deviation of a portfolio for an investor with 150% of her wealth in the risky asset and the rest in the risk-free investment?

a. E[r] = 21.5%, sigma=30%

b. E[r] = 21.5%, sigma=9%

c. E[r] = 16%, sigma=20%

d. E[r] = 16%, sigma=30%