Azevedo, FilipeVale, Zita2017-01-242017-01-242005972-669-677-1http://hdl.handle.net/10400.22/9360The restructuration and liberalization processes of power systems are a constant all over the world. However, those processes due to the specific characteristics of the product electricity create uncertainty and new risks that doesn t exist when power systems were vertically integrated. Those changes, origin the necessity of tools that allow the participants of the electricity markets to practice the hedge against the volatility of the System Marginal Price. In that sense, we present in this paper a Mean Variance Optimization Method trying to give a response to the necessities of the electricity markets participants. This optimization method was applied on an example presented in this paper. We conclude that, the Optimization Method presented in this paper, could be useful to producers and also to others participants.engconference object