Exercise

# Breaking down the financial crisis

In the video you saw the efficient frontier for the portfolio of investment banks over the entire period **2005 - 2010**, which includes time before, during and after the global financial crisis.

Here you'll break down this period into three sub-periods, or `epochs`

: **2005-2006** (*before*), **2007-2008** (*during*) and **2009-2010** (*after*). For each period you'll compute the efficient covariance matrix, and compare them to each other.

The portfolio's `prices`

for 2005 - 2010 are available in your workspace, as is the `CovarianceShrinkage`

object from PyPortfolioOpt.

Instructions

**100 XP**

- Create a dictionary
`epochs`

: its*keys*are the sub-periods, and its*values*are dictionaries of 'start' and 'end' dates. - For each of the sub-period keys in
`epochs`

, set`sub_price`

to the range of`prices`

for that sub-period. - Use
`sub_price`

and the`CovarianceShrinkage`

object to find an efficient covariance matrix for each sub-period. - Print and compare the resulting efficient covariance matrices for all three sub-periods.