  This paper presents an optimal strategy for portfolio liquidation under
discrete time conditions. We assume that N risky assets held will be liquidated
according to the same time interval and order quantity, and the basic price
processes of assets are generated by an N-dimensional independent standard
Brownian motion. The permanent impact generated by an asset in the portfolio
during the liquidation will affect all assets, and the temporary impact
generated by one asset will only affect itself. On this basis, we establish a
liquidation cost model based on the VaR measurement and obtain an optimal
liquidation time under discrete-time conditions. The optimal solution shows
that the liquidation time is only related to the temporary impact rather than
the permanent impact. In the simulation analysis, we give the relationship
between volatility parameters, temporary price impact and the optimal
liquidation strategy.
