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. We also address optimal portfolio liquidation and optimal portfolio transition problems .
After 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 return .