The large portrait, which Jackson never saw in its finished form, measures 3.51 (11.5 feet) by 3.1 meters (10.1 feet), and is the work of New York-based artist Kehinde Wiley.
"I was receiving messages saying Michael Jackson wants to reach you," said Wiley of being commissioned for the work in 2008.
"I ignored them because quite honestly I thought it was a prank," she told the art show's daily publication.
"Unfortunately, I didn't have as much input as I would have hoped for, but I think it's something he would have been proud of."
After speaking with Jackson, Wiley sent him a number of historical paintings to base the painting on.
"I think that his idea of collaborating with me was something that he really wanted to see through," Wiley said.
"I felt a responsibility to him to get it done (after he died)," she added.
The global economic slowdown has put the screws on lavish art sales as collectors put off laying out large sums for works, although Grayson said sales this year "were better... than in 2008."