Considering oneperiod investment and taking the maximization of expected utility of end wealth as objective, this paper introduces the liquidity as executing cost into the utility function model thus extends the investment perspective to the three dimension space from the two dimension space. The research results show that: firstly, the expected utility of end wealth is a decreasing function of illiquidity and variance of illiquidity; secondly, introduction of liquidity may not reduce the expected utility of endperiod wealth.