Before revision:  In particular, we address optimal portfolio choice  in a framework \`a la Almgren-Chriss  and we build therefore a model in which the agent takes into account in his /her allocation decision process both the liquidity of assets and the uncertainty with respect to their expected returns.
After revision:  In particular, we address optimal portfolio choice , portfolio liquidation, and portfolio transition problems in a framework \`a la Almgren-Chriss and we build therefore a model in which the agent takes into account in his /her allocation decision process both the liquidity of assets and the uncertainty with respect to their expected returns.