This paper considers the strategic asset allocation of long-term investors who face risky liabilities and who can invest in a large menu of asset classes including real estate, credits, commodities and hedge funds. We study two questions: (i) do the liabilities have an important impact on the optimal asset allocation? (ii) do alternative asset classes add value relative to stocks and bonds? We empirically examine these questions using a vector autogression for returns, liabilities and macro-economic state variables. We find that the costs of ignoring the liabilities in the asset allocation are substantial and increase with the investment horizon. Second, the augmented asset menu adds value from the perspective of hedging the liabilities.