Before 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 decision process both the liquidity of assets and the uncertainty with respect to their expected return.
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 decision process both the liquidity of assets and the uncertainty with respect to their expected return.