GEVP is not convex, so can’t be solved directly in CVX. Instead, as mentioned in section 2.2.3 of the link you provided, it can be solved as a quasi-convex program via bisection.
Also see Generalized eigenvalue problem The link in there https://web.stanford.edu/~boyd/cvxbook/ also with Boyd as an author, provides easier to understand explanations for some things than the link you provided.