3. Consider the example given in section 9.4 Use Excel to find an envelope portfolio whose with respect to the efficient portfolio y is

3. Consider the example given in section 9.4 Use Excel to find an envelope portfolio whose β with respect to the efficient portfolio y is zero. Hint: Notice that because the covariance is linear, so is β: Suppose that z = λx +

(1−λ)y is a convex combination of x and y, and that we are trying to find the βz. Then