Optimal control strategy for incompleteliquidation of two stocks

Under the assumption that the stock´s price follows the geometric Brown motion, take an institutional invest has two kinds of stocks for example, study of the optimal liquidation strategy for its incomplete liquidation, 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.