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We demonstrate second order optical nonlinearity in aluminum nitride on insulator substrates. Using sputter-deposited aluminum nitride thin films, we realize nanophotonic waveguides and critically coupled micro-ring resonators that simultaneously support high Q cavity resonant modes for both visible and infrared light. Using phase matched devices, we achieve efficient second-harmonic generation and produce up to 0.55 μW of visible light on the chip with a conversion efficiency of -46 dB with 22 mW input waveguide pump power. From the measured response, we obtain a second order nonlinear susceptibility (χ2) of 4.7 pm/V. Our platform provides a viable route for realizing wideband linear and nonlinear optical devices on a chip.