The expected return on the market portfolio is 13 percent with a standard deviation of 16 percent. What are the expected return and standard deviation for a portfolio with 40 percent of the investment in the market portfolio borrowed at the risk-free rate of 5 percent?

Expected return = 26.67%; expected return = 18.33%

Expected return = 18.33%; standard deviation = 26.67%

Expected return = 22.40%; standard deviation = 16.20%

Expected return = 16.20%; standard deviation = 22.40%