BB 9 I have difficulty understanding “cross sectional consistency”
It means that the projected returns on asset classes are reasonable in relation to those on other asset classes.
For example, it would likely be unreasonable to project a return of 8% for financial stocks and 9% for risk-free bonds, but that combination of projections won’t appear as a problem in the VCV matrix.
So not cross sectional consistent- it does not matter for statistical method?