The crossword puzzle of fitting - why across and then down?

This will be the first in a series of posts about portfolio optimisation. Main reason being I'm planning to write a book about backtesting, and that will include a big chunk of material on optimisation. Yes, I know, my latest book isn't out yet ( it's out in December - in time for Christmas). But this backtesting book is going to be quite deep (and probably long!) so I need to start researching…