Given an arbitrary frontier portfolio \(w^{*}\), with \(w^{*} eq w^{\mathrm{MVP}}\), there exists a unique frontier portfolio \(w^{\mathrm{zc}}\) such that \(\operatorname{Cov}\left(\tilde{r}_{w^{*}}, \tilde{r}_{w^{\mathrm{zc}}}\right)=0\).