Applying modern portfolio theory for a dynamic energy portfolio allocation in electricity markets

•This paper proposes two portfolio models, one applying the Mean Variance Criterion (MVC) and the other one the Conditional Value at Risk (CVaR), applied to electricity markets.•The MPT models are combined with a generalized autoregressive conditional heteroskedastic (GARCH) prediction technique for a Genco to optimally diversify their energy portfolio.•The two models are applied to the PJM electricity market.