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In this paper, a new model for generation and transmission expansion is presented. This new model considers as random events the demand, the equivalent availability of the generating plants, and the transmission capacity factor of the transmission lines. In order to incorporate these random events into an optimization model, stochastic programming and probabilistic constraints are used. A risk factor is introduced in the objective function by means of the mean-variance Markowitz theory. The solved optimization problem is a mixed integer nonlinear program. The expected value of perfect information is obtained in order to show the cost of ignoring uncertainty. The proposed model is illustrated by a six- and a 21-node network using a dc approximation.