This relationship was depicted to some extent in the Oliver Stone-directed biopic Alexander, starring Colin Farrell as Alexander and Jared Leto and Hephaestion, which was not a boxoffice success. Too bad porn stars are not good actors, because the Alexander story cries out for a hardcore adaption.
If I had to live in an historical period, I might choose ancient Greece. I think it would be a more erotic destination if you had a time machine, compared to ancient Rome or Egypt.
Now this is a photograph that Alexander the Great probably would've liked.