The covariance between H and Z is 85.5%%, which is much higher than the 45%% covariance between H and I from Formula 8.9 on page 233. This means that the correlation between H and Z shoots up to 74%

(from 35% for the correlation between H and I). This means that the efficient frontier is less dented toward the west. Put differently, the minimum-variance portfolio moves toward the east.