Using high-resolution cosmological N-body simulations , we study how the density profiles of dark matter halos are affected by the filtering of the density power spectrum below a given scale length and by the introduction of a thermal velocity dispersion . In the warm dark matter ( WDM ) scenario , both the free-streaming scale , R _ { f } , and the velocity dispersion , v _ { th } ^ { w } , are determined by the mass m _ { W } of the WDM particle . We found that v _ { th } ^ { w } is too small to affect the density profiles of WDM halos . Down to the resolution attained in our simulations ( \sim 0.01 virial radii ) , there is not any significant difference in the density profiles and concentrations of halos obtained in simulations with and without the inclusion of v _ { th } ^ { w } . Resolved soft cores appear only when we increase artificially the thermal velocity dispersion to a value which is much higher than v _ { th } ^ { w } . We show that the size of soft cores in a monolithic collapse is related to the tangential velocity dispersion . The density profiles of the studied halos with masses down to \sim 0.01 the filtering mass M _ { f } can be described by the Navarro-Frenk-White shape ; soft cores are not formed . Nevertheless , the concentrations of these halos are lower than those of the CDM counterparts and are approximately independent of mass . The cosmogony of halos with masses \lesssim \mbox { M$ { } _ { f } $ } is not hierarchical : they form through monolithic collapse and by fragmentation of larger structures . The formation epoch of these halos is slightly later than that of halos with masses \approx \mbox { M$ { } _ { f } $ } . The lower concentrations of WDM halos with respect to their CDM counterparts can be accounted for their late formation epoch . Overall , our results point to a series of advantages of a WDM model over the CDM one . In addition to solving the substructure problem , a WDM model with \mbox { R$ { } _ { f } $ } \sim 0.16 Mpc ( \mbox { m$ { } _ { W } $ } \approx 0.75 \mbox { keV } ; flat cosmology with \Omega _ { \Lambda } = h = 0.7 ) also predicts concentrations , a Tully-Fisher relation , and formation epochs for small halos which seems to be in better agreement with observations relative to CDM predictions .