Say there are two assets denoted by A and B. Let:
E(rA) = 10% E(rB) = 14% sA = 8% sB = 18%
Further let the correlation coefficient between the returns of A and B be equal to -1 (?A,B = -1). Lastly, let the risk-free rate be 3% (rf = 3%).
Create an arbitrage (earn a riskless profit which doesn't require use of your own money).