Optimal liquidation strategy for an institutional investor holding N kinds of stocks

In case of the continuous time and the stock price follows geometric Brownian motion , study of the optimal liquidation strategy for an institutional invest has many kinds of stocks, and use optimal observer in the optimal control theory, without calculating its analytical solution, we can use simulink obtain its simulated curves for optimal trajectory. We use numerical analysis can be concluded that: liquidity risk much more effect on the optimal liquidation strategy for investors, volatility risk of the optimal liquidation strategy is less for investors , when the risk of aversion coefficient tends to zero, the optimal liquidation strategy is approximately linear.