The market portfolio has an expected return of $12\%$ and a standard deviation of $10\%.$ The risk$-$free rate is $3\%.$

What is the standard deviation of a well$-$diversified portfolio with an expected return of $30\%?$ What is the

standard deviation of an individual asset with an expected return of $30\%?$

a$.30\%$; it should be more than $30\%$

b$.30\%$; it should be less than $30\%$

c$.35\%$; it should be less than $35\%$

d$.35\%$;$35\%$