Portfolio Diversification and Capital Income: Undiversifiable Risks We take the example from Table 6-6 and Figure 6-9, and we add a common “global” shock to each country. With probability 50%, each country experiences a five-unit increase in capital income, and with probability 50% experiences a five-unit decrease in capital income. Holding half of the world portfolio reduces but does not eliminate capital income risk entirely because the global shock is an undiversifiable risk for the world as a whole.