It is not possible to earn a return that is above the efficient frontier without the existence of a risk-free asset or some other asset that is uncorrelated with your portfolio assets.

Question

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The efficient frontier represents the optimal portfolio of assets that maximizes expected return for a given level of risk, and any portfolio on the efficient frontier is considered to be efficient. Any portfolio that lies below the efficient frontier is suboptimal, as it offers a lower expected return for the same level of risk, while any portfolio that lies above the efficient frontier is not possible due to the presence of risk-free assets or other assets that are uncorrelated with the portfolio assets. Therefore, it is true that it is not possible to earn a return that is above the efficient frontier without the existence of a risk-free asset or some other asset that is uncorrelated with your portfolio assets.

It Is Not Possible to Earn a Return That Is