Summary: It is often the case that some unexpected event may force an investor to terminate her investment and leave the market. We consider in this paper the mean-variance formulation of multi-period portfolio optimization for asset-liability management with an uncertain investment horizon. Under the assumption that exit time follows a given distribution, the problem under investigation with uncertain investment horizon can be translated into one with deterministic exit time. By making use of the embedding technique of

*D. Li* and

*W.-L. Ng* [Math. Finance 10, 387–406 (2000;

Zbl 0997.91027)], we derive an analytical optimal strategy and an analytical expression of the mean-variance efficient frontier for the mean-variance formulation of the problem.