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

1,393

TOTAL CITATIONS

3

Scholarly Papers (5)

1.

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, University of Virginia, Darden Graduate School of Business and TIAA Institute - Covariance Capital Management
Downloads 1,393 (30,352)
Citation 3

Abstract:

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

2.

Risk-Based Dynamic Asset Allocation with Extreme Tails and Correlations

Journalof Portfolio Management, Vol. 38, No. 4, 2012, https://doi.org/10.3905/jpm.2012.38.4.026
Posted: 21 May 2019
Peng Wang, Rodney N Sullivan and Yizhi Ge
TIAA Institute - Covariance Capital Management, University of Virginia, Darden Graduate School of Business and Georgetown University

Abstract:

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

3.

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

Posted: 20 May 2019
Peng Wang and Larry Kochard
TIAA Institute - Covariance Capital Management and affiliation not provided to SSRN

Abstract:

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

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:

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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
Morningstar Investment Management, University of Virginia, Darden Graduate School of Business and TIAA Institute - Covariance Capital Management

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asset allocation, dynamic asset allocation, liquidity