Let M be the market portfolio and portfolio A is another portfolio in the efficient frontier with lower risk than M. If you create a new portfolio X allocating the capital between M and the risk-free asset, then:

Portfolio A has a higher expected return than portfolio X

Portfolio A has higher risk than portfolio X

Portfolio X has a higher expected return than portfolio A

There is not enough information for a comparison between portfolios A and X to be made

Portfolio X has higher risk than portfolio A