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This electronic document is a "live" template. The paper studies the balance between benefits and risks, when such a generator sales electricity in many trade markets. Firstly, the uncertain risk faced by this generator selling electricity in spot market, contract market and option market will be measured with conditional value at risk (CVaR) theory. Secondly, the mean-CVaR sale portfolio optimal model is constructed with considering the risk and expectation benefits of this generator based on investment portfolio theory. At last, calculation results show that the proposed model can truly reflect the essential characters of the market risk faced by this generator and guarantee it to obtain expected profits at the minimum CVaR risk lever, and the option market can effectively reduce sale risk.