Example: S0 and T0 are securitie prices at time 0, Covariance matrix (S, T) are known.
portfolio P0 a*S0+ b*T0

then , Var(P)= Var(a*S + b*T)= a^2 * Var(S) + 2abcov(S,T) + b^2 * Var(T).
Since Var(S), Var(T) and Cov(S,T) are given, we can adjust a , b so that Var(P) =0.