Before revision:  We implement our methodology using as our securities two sets of portfolios constructed by Fama and French : the 48 industry portfolios and 100 portfolios formed on size and book-to-market.
After revision:  Our approach recovers as special cases the no-short-positions portfolios, but does allow for short positions in limited number. We implement this methodology on two benchmark data sets constructed by Fama and French : the 48 industry portfolios and 100 portfolios formed on size and book-to-market.