Yes. The simple way to think about it is that if you only own 50% of your risky assets, then you can own twice as many risky assets. That means they will move around twice as much (in absolute terms). Expected returns and risk (if risk is variance) both go up.

Note, the practice of using leverage differs from portfolio theory in a couple important ways.

1. There's a threshold or cliff danger, which is when the broker makes you force-sell your assets, or you have to declare bankruptcy, or whatever. Then you are just stuck with a loss and you can't hold and wait for prices to go back up. Leverage thus allows you to lose 100% of your assets, permanently. Another way to put it is that margin calls can create a cash crisis or lack of liquidity, destroying you.
2. the interest rate charged by brokerages is pretty far above the risk-free rate, if you're just an average joe individual. This lowers expected return for a given risk, so the CML bends at the point where leverage begins and leverage isn't as useful as it would be. http://www.investing-in-mutual-funds.com/asset-allocation.html has an illustration of this.

Yes, more leverage increases the variance of your individual portfolio (variance of your personal net worth). The simple way to think about it is that if you only own only 50% of your risky assets, then you can own twice as many risky assets. That means they will move around twice as much (in absolute terms). Expected returns and risk (if risk is variance) both go up. If you lend rather than borrow, then you might have only half your net worth in risky assets, and then your expected returns and variation in returns will go down.

Note, the practice of using leverage differs from portfolio theory in a couple important ways.

1. There's a threshold or cliff danger, which is when the broker makes you force-sell your assets, or you have to declare bankruptcy, or whatever. Then you are just stuck with a loss and you can't hold and wait for prices to go back up. Leverage thus allows you to lose 100% of your assets, permanently. Another way to put it is that margin calls can create a cash crisis or lack of liquidity, destroying you.
2. the interest rate charged by brokerages is pretty far above the risk-free rate, if you're just an average joe individual. This lowers expected return for a given risk, so the CML bends at the point where leverage begins and leverage isn't as useful as it would be. http://www.investing-in-mutual-funds.com/asset-allocation.html has an illustration of this.