There are some kinds of trading models in the electricity market

such as contact

day-ahead

real-time

ancillary services and etc. It is a noteworthy and valuable problem that how to allocate the trade ratio in the market for the purpose of profit maximization. Using capital asset pricing model (CAPM) in economics for reference

the concept of risk utility is introduced to embody the balance between earning and risk. It is considered that the more risk the purchaser takes

the more earning should be returned to him. With the solution for the new model derived

an optimal generator trading strategy is given. To make up the disadvantage of concluding the risk factors subjectively in many of the previous modes

the risk factor can be worked out exactly and directly by computation in this model. The numerical examples show the validity and availability of the model proposed.