This paper proposes a new energy management method for a multi-energy microgrid (MEMG) which supplies both electrical and thermal energies. Based on the transactive energy (TE) concept, the problem is formulated as a Stackelberg game-theoretic bi-level optimization model. The MEMG operator optimizes the energy scheduling and pricing strategies at the upper level, and the industrial, commercial and residential agents optimize their energy trading strategies at the lower level. The equivalent single-level mixed-integer linear program (MILP) reformulation is then derived for computational tractability. To coordinate the strategies made in the day-ahead and intra-day energy markets, an adaptive stochastic optimization (SO) approach is adopted, by which a day-ahead stochastic MILP and an intra-day deterministic model are formed. Furthermore, the conditional value-at-risk (CVaR) measure is incorporated in the day-ahead stage for risk aversion of the MEMG operator towards uncertainties. To solve the models, an adaptive Progressive Hedging (PH) algorithm is developed to decompose the day-ahead stochastic MILP into multiple scenario-based subproblems which can be solved in parallel, and an outer approximation (OA) algorithm is adopted in the intra-day stage to linearize the bilinear objective function. Finally, the simulation results verify the effectiveness of the proposed energy management method and the efficiency of the solution algorithms.