As already answered by @ehiller, it's only possible to have covariant returns if a property is readonly, but you can still set its value when calling the constructor. Here's an example:

1. Define a couple of types that are going to be used to declare the properties (using interfaces in this example):

public interface IBase {
    void Method1();
}

public interface IDerived : IBase {
    void Method2();
}

2. Define the types that declare the properties:

public class Base {
    public virtual IBase Property { get; }

    public Base(IBase b) {
        Property = b;
    }

    public void CallMethod1() {
        Property.Method1();
    }
}

public class Derived : Base {
    // Property with covariant return. 
    public override IDerived Property { get; }

    public Derived(IDerived d) : base(d) {
        Property = d;  // No setter, but it's legal to set the value here.
    }

    public void CallMethod2() {
        Property.Method2();
    }
}