This paper addresses the asset allocation problem of long-term investors with exposures to illiquid private asset classes (hedge funds, private equity, real estate, infrastructure, etc.). A dynamic portfolio choice model captures the temporal nature of illiquidity, where trading uncertainty hinders the investor from freely adjusting the allocation to the strategic targets. Calibrating the optimization model to analyst-based market expectations, and weighing up the risks of illiquidity against the premia and diversification potential associated with private asset classes, I quantify the welfare impact of illiquidity in investors' asset mix.