Asset–liability management is a major concern for large financial institutions. Assets must be invested to achieve sufficient returns to pay liabilities and achieve goals subject to uncertainties, policy, taxes, and legal constraints. This article discusses asset and liability management with portfolio complexities and policy constraints. Applications to the management of investment portfolios for large financial institutions, including pension funds and insurance companies, and for individual life‐cycle planning are discussed. The approach recommended is discrete‐time, multiperiod stochastic programming. We present the Russell–Yasuda Kasai and the InnoALM models, both of which had a major impact on the practice of asset‐liability management (ALM).