Peng Wang

TIAA Institute - Covariance Capital Management

Head of Portfolio Research

1221 McKinney St. Suite 1800

Houston, TX 77010

United States

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 3,738

SSRN RANKINGS

Top 3,738

in Total Papers Downloads

8,643

CITATIONS

1

Scholarly Papers (5)

1.

Using a Z-score Approach to Combine Value and Momentum in Tactical Asset Allocation

Number of pages: 42 Posted: 17 Dec 2010 Last Revised: 15 Mar 2012
Peng Wang and Larry Kochard
TIAA Institute - Covariance Capital Management and affiliation not provided to SSRN
Downloads 4,534 (971)

Abstract:

Value, Momentum, Tactical Asset Allocation, Dynamic Asset Allocation, TAA, Asset Classes, Z Score

2.

Risk-Based Dynamic Asset Allocation with Extreme Tails and Correlations

Journalof Portfolio Management, Vol. 38, No. 4, 2012
Number of pages: 3 Posted: 14 Jan 2012 Last Revised: 10 Aug 2012
Peng Wang, Rodney N Sullivan and Yizhi Ge
TIAA Institute - Covariance Capital Management, AQR Capital Management and Georgetown University
Downloads 1,904 (5,099)

Abstract:

Extreme Tail Risk, CVaR Optimization, Regime Change, Markov Switching Model, Dynamic Asset Allocation, TAA

3.

Low-Volatility Cycles: The Influence of Valuation and Momentum on Low-Volatility Portfolios

Financial Analysts Journal, Forthcoming
Number of pages: 34 Posted: 16 Aug 2013 Last Revised: 18 Dec 2014
Florida Atlantic University - Department of Finance, University of Virginia (UVA), Investment Management Company, AQR Capital Management and TIAA Institute - Covariance Capital Management
Downloads 750 (16,283)
Citation 1

Abstract:

idiosyncratic risk, asset pricing, low-volatility anomaly, arbitrage, asset pricing

4.

Strategic Asset Allocation: Combining Science and Judgment to Balance Short-Term and Long-Term Goals

Posted: 12 Mar 2016 Last Revised: 16 Jul 2017
Peng Wang and Jon Spinney
TIAA Institute - Covariance Capital Management and Vestcor Investment Management

Abstract:

Asset allocation, policy portfolio, risk, alpha, spending, endowment

5.

Liquidity-Driven Dynamic Asset Allocation

Journal of Portfolio Management, Forthcoming
Posted: 28 Nov 2012 Last Revised: 10 Mar 2016
Ibbotson Associates, AQR Capital Management and TIAA Institute - Covariance Capital Management

Abstract:

asset allocation, dynamic asset allocation, liquidity