Before revision:  In this article  , we develop a liquidation model in which the trader is constrained to liquidate a portfolio at constant participation rate  . Considering the functional forms usually used by practitioners  , we obtain a closed-form expression for the optimal participation rate and for the liquidity premium a trader should quote to buy a large block of shares.
After revision: When executing their orders, investors are proposed different strategies by brokers and investment banks. Most orders are executed using VWAP algorithms. Other basic execution strategies include POV (also called PVol) -- for percentage of volume --, IS -- implementation shortfall -- or Target Close. In this article , we develop a liquidation model in which the trader is constrained to liquidate a portfolio at constant participation rate . Considering the functional forms usually used by practitioners , we obtain a closed-form expression for the optimal participation rate and for the liquidity premium a trader should quote to buy a large block of shares.