Diane has $2,500 to invest. The expected return on the market portfolio is 11 percent with a standard deviation of 15 percent. What are the expected return and standard deviation for the portfolio if Diane borrows an additional $1,000 at the risk free rate of 4 percent and invests everything in the market portfolio?

Expected return = 15.40%; standard deviation = 19.40%

Expected return = 21.00%; standard deviation = 13.80%

Expected return = 19.40%; standard deviation = 15.40%

Expected return = 13.80%; standard deviation = 21.00%