Continuous-time mean-variance asset-liability management with endogenous liabilities

► A continuous-time mean-variance model with endogenous liabilities is studied. ► The Lagrange multiplier method, the HJB approach and the Khatri-Rao product technique are used. ► The existence and uniqueness of the solution to the related Riccati equation are proved. ► Explicit expressions of the efficient strategy and frontier are derived. ► Two degenerate cases are discussed and some numerical examples are presented.