The uncertainty of wind power generation leads to the uncertainty of operation cost， resulting in risks in the economic dispatch， i.e. operation cost risk. In order to take into account of the uncertainty of wind power and achieve a better management of operation cost risk， a set of scenarios and corresponding probabilities are adopted to approximate wind power output. By use of mean lower semi-absolute deviation（MLASD） model， the proposed economic dispatch model can balance the expectation and risk of operation cost. As pumped storage power station is good at balancing wind power uncertainty， it is included in the proposed economic dispatch model. Case studies show that the proposed model can effectively reflect the essential characteristics of economic dispatch with wind power and pumped storage， and operators downside aversion for operation cost risk. It can also be transformed into a simple format and be solved fast.