Linking factor portfolio construction to cross-sectional regressions of security returns on standardized factor exposures leads to a transparent and investable perspective on factor performance. Under capitalization-weighting, multivariate regression coefficients translate to portfolio returns...

To model multivariate, possibly heavy-tailed data, we compare the multivariate normal model (N) with two versions of the multivariate Student model: the independent multivariate Student (IT) and the uncorrelated multivariate Student (UT). After recalling some facts about these distributions and...