Although some empirical analysis has already been done on the application of the fractal and multifractal theories in electricity price modeling，appropriate risk indices and associate calculation methods have not yet been systematically addressed.Given that，the well-established multifractal-detrended fluctuation analysis（MF-DFA）is employed to analyze and validate the multifractal characteristics of electricity price series.Then，a return interval approach（RIA）based method is presented to calculate the value-at-risk（VaR）caused by the electricity price fluctuations in electricity markets.Based on the proposed method，a risk optimization model for a short-term purchasing portfolio of the transmission company is developed.Finally，practical real-time electricity price data from the PJM electricity market in USA is served as a case study for analyzing the financial risk of a transmission company acting as a single buyer.Moreover，the risk optimization model is employed to determine the purchasing portfolio of typical trading days.It is demonstrated by simulation results that the developed RIA based VaR calculation method can accurately reflect the financial risk of the transmission company in a single-buyer electricity market，but also adapt to different fluctuation characteristics of electricity prices in different time periods.It provides a new method of risk optimization of purchasing portfolio for transmission companies.