Before revision: In a general one-sided limit order book  where the unaffected price process follows a Levy process, we consider the problem for an investor with constant absolute risk aversion to optimally liquidate a given large position of shares.
After revision: In a general one-sided limit order book , satisfying some realistic assumptions, where the unaffected price process follows a Levy process, we consider the problem for an investor with constant absolute risk aversion to optimally liquidate a given large position of shares.