A key contribution of Modern Portfolio Theory (MPT) is that you can combine two portfolios together to form a superior set of allocations that are extremely risk efficient. What are these two portfolios? You would combine a risk free asset with the portfolio with the least risk (minimum variance portfolio) You would combine a risk free asset with the most efficient risky portfolio (with the highest sharpe ratio) You would combine the minimum variance portfolio and the market portfolio You would combine two risky assets that have the two highest sharpe ratios