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The classical literature on optimal liquidation, rooted in Almgren-Chrissmodels, tackles the optimal liquidation problem using a trade-off betweenmarket impact and price risk. Therefore, it only answers the general questionof the optimal liquidation rhythm. The very question of the actual way toproceed with liquidation is then rarely dealt with. Our model, thatincorporates both price risk and non-execution risk, is an attempt to tacklethis question using limit orders. The very general framework we propose tomodel liquidation generalizes the existing literature on optimal posting oflimit orders. We consider a risk-adverse agent whereas the model of Bayraktarand Ludkovski only tackles the case of a risk-neutral one. We consider verygeneral functional forms for the execution process intensity, whereas Gu\'eantet al. is restricted to exponential intensity. Eventually, we link theexecution cost function of Almgren-Chriss models to the intensity function inour model, providing then a way to see Almgren-Chriss models as a limit ofours.

General Intensity Shapes in Optimal Liquidation