We model the optimal asset allocation with illiquidity in the form of trading uncertainty. We apply the model to the strategic allocation problem that long-term investors typically face, and find that if the investor cannot trade the asset over five years on average, the welfare loss is about 2\% relative to an equivalent completely liquid mix. Still, adding to the strategic mix private asset classes such as hedge funds, private equity, direct real estate, or infrastructure, for which secondary markets do not exist or are too frail, increases significantly the investor's welfare relative to a traditional equity-bonds allocation. 