Risk management in a competitive electricity market has two important aspects, including Risk Control and Risk Assessment. Hedging and Portfolio Optimization are using to control the risks. In a competitive electricity market a generation company can control its trading risks through selling the generated energy in different markets such as spot market and different type of bilateral contracts. The problem is the participation method and the amount of generated power which is going to maximize the profit and minimize the risk of investments. In this thesis, due to the increase in the amount of wind power generation, wind energy trading in electricity market is considered competitive without governmental supports. In addition, it is assumed that wind power generation has enough Influence and is able to participate in a competitive market. Wind generation uncertainties are modeled and owners have to handle the Imbalance Cost Rate. Wind energy trading has several risks such as uncertainty in wind generation, spot price variation, and imbalance cost rate variation. In this thesis the optimum amount of allocated energy to each market is under consideration using Modern Portfolio Theory and considering the aforementioned risks and risk aversion factor. The risks of participation of the wind farm in a competitive electricity market will be hedged using this method. This optimization is obtained considering a trade-off between expected profit and risks by taking the risk aversion factor into account. This process would bring up two objective functions those are optimized using GAMS software. Value at risk index is used to evaluate risk of the proposed method. For performing the test, sensitivity analysis, and calculating the value at risk index, historical data of the Spain electricity market have been used. Keywords: Risk Management, Wind Energy Trading, Asset Allocation, Risk Aversion, Value at Risk Risk Management Analysis for Wind Generation in Electricity Market Environment