Abstract: Real-time pricing mechanism under smart grid can improve the welfare of the whole society. As for the price-sensitive users, however, it has two sides, both opportunities and challenges. Using the conditional value-at-risk(CVaR) as the risk measure, an optimal purchasing portfolio model in the power financial market and spot market is established, so that the price-sensitive users can control electricity purchasing risk. Moreover, a consistent smooth approximation function is proposed and the model is converted into a smooth convex programming. The reasonability of the model and the validity of the algorithm are verified by the simulation analysis.