In the competitive electricity market environment

to maximize their utilities by the tradeoff of maximum profit versus minimum risk

the Generation Companies (GenCos) have to decide how to allocate their limited energy among different markets where different returns may be obtained with different degrees of risks. At present

using Modern Portfolio Theory (MPT) for reference

the Expectation-Variance (E-V) model is generally adopted. However

the consistent supposition of the risk preference in the E-V model does not conform to the common decisionmaker’s psychology. So

this paper replaces the utility function with a value function to describe the changeable risk preference of the GenCos

and takes into account the influence of probability to achieve the expected profit goal

thus causes the decision result to conform to the GenCos’ psychological desire much more. Furthermore，in the process of calculating the total profit

the effect of avoiding risk by the lowest bidding in each market is considered

which makes the decision result more precise. At last

numerical results demonstrate the efficiency of the proposed model.