Beatrice, Acciaio; Gregor, Svindland - In: Dependence Modeling 1 (2013) December, pp. 54-64
While it is reasonable to assume that convex combinations on the level of random variables lead to a reduction of risk (diversification effect), this is no more true on the level of distributions. In the latter case, taking convex combinations corresponds to adding a risk factor. Hence, whereas...