Modeling, estimation, and optimization of equity portfolios with heavy-tailed distributions 129
Table 5.4Maximum likelihood estimate of parameters of the skewed Student’s tdistribution for the 14 factorsF1F2F3F4F5F6F7F8F9F10F11F12F13F14γ^
7.19%3.29%
17.5%4.22%3.95%9.66%2.17%
10.66%1.72%0.03%2.33%
2.68%1.06%5.87%μ^
2.11%18.3%39.68%21.77%
9.50%
16.2%7.76%7.56%
6.6%
5.93%
11.9%
9.34%
0.81%19.07%V^5 Matrix∑
F1F2F3F4F5F6F7F8F9F10F11F12F13F14172.06%47.54%
35.8%
41.1%
28.0%8.48%8.98%11.54%
20.9%6.68%7.11%29.45%9.01%
14.8%247.54%70.38%
33.2%34.7%
11.3%2.82%16.89%3.54%
10.6%5.87%11.99%23.04%14.53%
23.9%3
35.8%33.2%71.18%39.25%13.87%10.64%
12.5%3.49%8.46%
15.2%14.68%
14.2%11.15%12.07%4
41.1%34.7%39.25%77.07%17.14%0.25%
2.98%4.41%3.65%
7.37%
1.15%
24.9%
2.04%13.57%5
28.0%11.3%13.87%17.14%77.56%
1.59%
18.1%21.0%10.39%
8.26%1.86%
5.26%
0.69%
14.5%68.48%2.82%10.64%0.25%
1.59%57.56%
1.83%15.8%5.43%
1.54%6.92%
0.13%13.64%
12.7%78.98%16.89%
12.5%2.98%
18.1%
1.83%70.42%2.48%
12.5%13.65%
4.07%
13.4%7.58%10.50%811.54%3.54%
3.49%4.41%
21.0%
15.8%2.48%62.45%
8.60%14.39%
2.50%6.44%
3.28%10.94%9
20.9%10.6%8.46%3.65%10.39%5.43%
12.5%8.60%61.14%
6.05%
5.60%
14.3%
0.76%6.40%106.68%5.87%
15.2%7.37%
8.26%
1.54%13.65%14.39%
6.05%70.92%
20.4%
18.4%
0.06%14.32%117.11%11.99%14.68%1.15%1.86%6.92%
4.07%2.50%
5.60%
20.4%66.84%28.08%12.74%
15.2%1229.45%23.04%
14.1%24.9%
5.26%
0.13%
13.4%6.44%
14.3%
18.4%28.08%70.98%8.16%
45.0%139.01%14.53%11.15%
2.04%
0.69%13.64%7.58%
3.28%
0.76%
0.06%12.74%8.16%63.76%
15%14
14.8%23.9%12.07%13.57%
14.5%
12.7%10.50%10.94%6.40%14.32%
15.2%
45.0%15.%70.70%