Abstract: With the development of electricity market reform, electricity retail markets are established and many electricity retail companies are gradually built up and involved in electricity retail business. How to build the optimal portfolio strategies for purchasing electricity by an electricity retail company in multiple markets is an issue with extensive concern. To this end, it is necessary to consider the uncertainties of load demand and electricity prices in the market environment so as to manage risk associated. Given this background, two vectors representing hourly load demands and electricity prices in the real-time electricity market are first employed for a specified day, and interval numbers are used to represent the fluctuation range of load and electricity price. On the other hand, the impacts of the time-of-use （TOU） retail electricity price for terminal users on the load shift and market share of the electricity retail company concerned are investigated. Then, an enhanced interval linear programming （EILP） model is presented with the objective of maximizing the overall profit of the electricity retail company in a given day, and solved by an analytic approach. Finally, actual load and electricity price data from the PJM （Pennsylvania, New Jersey, Maryland） electricity market in USA are employed to demonstrate the presented method.

Key words: electricity market, electricity retail, portfolio strategies for purchasing electricity, risk management, load shift, enhanced interval linear programming （EILP）