backtest portfolio optimisation - is it possible?

[andrewczgithub]

hi all
@SteveDiamond @davidhallac @echu @bodono

im just wondering for the markovitz portfolio optimisation section of this paper.
how would you backtest it. would you retrain the model every time you re-balance.

I tried to follow the code but its a bit hard to tell how to use the weights in a backtest.

Kind regards,
Andrew