Power and energy systems are being subject to relevant changes, mostly due to the large increase of distributed generation. These changes include the deregulation of electricity markets, which has become a more competitive marketplace due to the increase of the number of players based on renewable energy sources. This paper proposes a new portfolio optimization model for the participation in multiple alternative/complementary market opportunities, considering the risk management. The proposed model considers electricity as the asset to be negotiated. The risk is measured using the prediction error of electricity prices. A case study based on real data from Iberian electricity market-MIBEL assesses the results of the proposed model, using a particle swarm based optimization. Results show that using the proposed portfolio optimization model, market players are able to balance their market participation strategies depending on their risk aversion and profit seeking nature.