Circularly-polarized magneto-photoluminescence (magneto-PL) technique has been applied to investigate Zeeman effect in InAs/InGaAs/InAlAs quantum wells (QWs) in Faraday geometry. Structures with different thickness of the QW barriers have been studied in magnetic field parallel and tilted with respect to the sample normal. Effective electron-hole g-factor has been found by measurement of splitting of polarized magneto-PL lines. Lande factors of electrons have been calculated using the 14-band kp method and g-factor of holes was determined by subtracting the calculated contribution of the electrons from the effective electron-hole g-factor. Anisotropy of the hole g-factor has been studied applying tilted magnetic field.