in　a　multi-market　environment,　electricity　retailers　need　to　allocate　the　proportion　of　electricity　purchased　from　the　contract　market,　the　day-ahead　market　and　the　real-time　market　in　order　to　reduce　risks　and　increase　profits.　This　article　considers　the　implementation　of　peak-valley　prices　on　the　side　of　power　sales,　studies　the　income　space　of　electricity　procurement　and　sale　for　electricity　retailers,　and　uses　CVaR　to　quantify　the　losses　that　electricity　retailers　may　suffer;　since　CVaR　mainly　reflects　the　size　of　losses,　it　cannot　adjust　the　proportion　of　power　purchases　in　various　markets　to　increase　the　income　from　electricity　retailers;　therefore,　under　the　condition　of　satisfying　CVaR,　the　skewness　constraint　is　introduced　into　the　portfolio　purchasing　optimization　model,　this　article　adjusts　the　proportion　of　electricity　purchased　in　each　market　by　controlling　the　degree　of　skewness,　so　as　to　control　the　return　of　electricity　retailers,　the　greater　the　skewness,　the　lower　the　probability　of　a　low　rate　of　income　and　the　greater　the　probability　of　a　high　rate　of　income;　this　article　takes　the　maximization　of　the　income　of　electricity　retailers　as　a　target　function,　the　skewness-CVaR　based　portfolio　purchasing　optimization　model　for　electricity　retailers　under　peak　-　valley　prices　is　established.　The　example　results　show　that　this　model　provides　new　risk　measurement　indicators　and　power　purchase　plans　for　electricity　retailers.　©　2018　IEEE