Behavioral Despair in the Talmud

We solve two "unsolvable" (teyku) problems from the Talmud that had remained unsolved for about 1,500 years. The Talmudic problems concern the implied decision-making of farmers who have left some scattered fruit behind, and the alleged impossibility of knowing whether they would return for given amounts of fruit over given amounts of land area if we aware of their behavior at exactly one point. We solve the problems by formalizing the Talmudic discussion and expressing five natural economic and mathematical assumptions

Risk Parity Optimality

A poster summarizing some of the results of research by Gregg S. Fisher, Philip Z. Maymin, Zakhar G. Maymin that was published in Journal of Portfolio Management (2015), 41:2, 42-56 under the title "Risk Parity Optimality"

When Can You Pick Up Fallen Fruit?

A poster discussing applying ideas from the Talmud to business

Constructing the Best Trading Strategy: A New General Framework

We introduce a new general framework for constructing the best trading strategy for a given historical indicator. We construct the unique trading strategy with the highest expected return. This optimal strategy may be implemented directly, or its expected return may be used as a benchmark to evaluate how far away from the optimal other proposed strategies for the given indicators are. Separately, we also construct the unique trading strategy with the highest information ratio. In the normal case, when the traded security return is near zero, and for reasonable correlations, the performance differences are economically insignificant. However, when the correlation approaches one, the trading strategy with the highest expected return approaches its maximum information ratio of 1.32 while the trading strategy with the highest information ratio goes to infinity.

Behavioral Despair in the Talmud: New Solutions to Millenium-Old Legal Problems

We solve two "unsolvable" (teyku) problems from the Talmud that had remained unsolved for about one and a half thousand years despite massive and nearly continuous commentary and analysis throughout the centuries. The Talmudic problems concern the implied decision-making of farmers who have left some scattered fruit behind, and the alleged impossibility of knowing whether they would return for given amounts of fruit over given amounts of land area if we aware of their behavior at exactly one point. We solve the problems by formalizing the Talmudic discussion and expressing five natural economic and mathematical assumptions that are also eminently reasonable in the original domain. If we also allow a sixth assumption regarding the farmer’s minimum wage, we can solve two other related unsolvable problems

Any Regulation of Risk Increases Risk

We show that any objective risk measurement algorithm mandated by central banks for regulated financial entities will result in more risk being taken on by those financial entities than would otherwise be the case. Furthermore, the risks taken on by the regulated financial entities are far more systemically concentrated than they would have been otherwise, making the entire financial system more fragile. This result leaves three directions for the future of financial regulation: continue regulating by enforcing risk measurement algorithms at the cost of occasional severe crises, regulate more severely and subjectively by fully nationalizing all financial entities, or abolish all central banking regulations including deposit insurance to let risk be determined by the entities themselves and, ultimately, by their depositors through voluntary market transactions rather than by the taxpayers through enforced government participation.