| Summary: | Abstract The decision‐making and risk assessment of electricity purchase and sales is the key to adapt to the electricity market for independent electricity retailers in China. This research carried out the purchase and sales risks of electricity for electricity retailers and constructed the multi‐level market purchase and sales combination optimization model. Based on the portfolio optimization theory, the conditional value at risk theory (CVaR) was proposed. Based on the evaluation index about the conditional risk profit and CVaR, electricity retailers purchase and sales combined optimization model has been constructed to explore the impact of purchase and sales risks by different factors in multi‐level electricity market. The example analysis was carried out by the fixed spread mode and the linkage spread mode. The results showed that the mathematical mean and variance of market spread had great influence on the electricity purchase and sales combination. Especially in the mature electricity market, the mathematical mean of spread and risk in medium‐ and long‐term market was smaller than that in spot market, and the best point of the electricity purchase and sales combination was shown on the smallest value of CVaR, while the electricity purchase and sales combination was optimal under limited conditions.
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