Variance-covariance matrix Mean returns 0.400 0.030 0.020 0.000 0.06 0.030 0.200 0.001 -0.060 0.05 0.020 0.001 0.300 0.030 0.07 0.000 -0.060 0.030 0.100 0.08 In the example below, use Excel to fi nd an envelope portfolio whose  with respect to the efficient portfolio y is zero. Hint : Notice that because the covariance is linear, so is : Suppose that z = x + (1  ) y is a convex combination of x and y , and that we are trying         z y y y Cov z y Cov x y y Cov x y Cov y = ( ) = ( ) +  = ( ) +  , () , , () , 2 2 2 1 1 y y x ( ) = +    2 ( ) 1