The increasing unpredictability of electricity market prices as reflection of the renewable generation variability brings a new dimension to risk formulation, since market participation risk should consider the prices variation in each market. This paper proposes a new portfolio optimization model, considering a new approach for risk management. The problem of electricity allocation between different markets is formulated as a classic portfolio optimization problem with the consideration of the market prices forecast error as integral part of the risk asset. The multi-objective problem leads, however, to a heavy computational burden, and for this reason the method of weighting singlecriterion objectives is applied in this paper. A particle swarm optimizationbased metaheuristic is applied in order to enable decreasing the execution time of the optimization, while guaranteeing a good quality of results. A case study based on real data from the Iberian electricity market demonstrates the advantages of the proposed approach to increase market players’ profits while minimizing the market participation risk

This work has received funding from the European Union's Horizon 2020 research and innovation programme under the Marie Sklodowska-Curie grant agreement No 641794 (project DREAM-GO) and grant agreement No 703689 (project ADAPT)