  The classical literature on optimal liquidation, rooted in Almgren-Chriss
models, tackles the optimal liquidation problem using a trade-off between
market impact and price risk. Therefore, it only answers the general question
of the optimal liquidation rhythm. The very question of the actual way to
proceed with liquidation is then rarely dealt with. Our model, that
incorporates both price risk and non-execution risk, is an attempt to tackle
this question using limit orders. The very general framework we propose to
model liquidation generalizes the existing literature on optimal posting of
limit orders. We consider a risk-adverse agent whereas the model of Bayraktar
and Ludkovski only tackles the case of a risk-neutral one. We consider very
general functional forms for the execution process intensity, whereas Gu\'eant
et al. is restricted to exponential intensity. Eventually, we link the
execution cost function of Almgren-Chriss models to the intensity function in
our model, providing then a way to see Almgren-Chriss models as a limit of
ours.
