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 mod...