It is not possible to earn a return that is outside 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 portfolio combinations that offer the highest expected return for a given level of risk. Any portfolio combination outside the efficient frontier would offer either lower expected return for a given level of risk or higher risk for a given level of expected return than portfolios on the efficient frontier. Without a risk-free asset or an uncorrelated asset, it is not possible to achieve a higher return without taking on additional risk, which would push the portfolio combination further away from the efficient frontier.

It Is Not Possible to Earn a Return That Is