The market portfolio has an expected return of 20% and a standard deviation of 10%. The risk-free rate is 4%. What is the standard deviation of a well-diversified portfolio with an expected return of 40%? What is the standard deviation of an individual asset with an expected return of 40%? O a. 22.5%; it should less than 22.5% O b. 22.5%; it should be more than 22.5% O c. 21.4%; 21.4% O d. 22.5%; 22.5%