A novel semi-absolute deviation optimal purchasing portfolio model for multiple markets is proposed by quantizing the risk and expected revenue rate of load serving entity. The semi-absolute deviation is used as a risk measurement index for this model. The model only focuses on the risks which are less than the expected returns and it does not require that the variance of asset returns to follow a normal distribution. Taking the power purchasing in four markets for example， the proposed model is transferred into a linear programming problem. The calculation results show that the proposed model can truly reflect the essential characteristics of power market risk facing the supply companies and guarantee the supply companies to obtain the expected profits at the minimum absolute deviation risk. It provides supply companies a new idea for risk assessment and purchase decision-making.