Based on advantages of CVaR in risk measurement and on the premise of guaranteeing basic profits, taking minimum CVaR value of power supply company as a target, this paper establishes the optimal power purchasing model under TOU electricity price. In turn, using the model it analyzes different purchasing proportion in real-time electricity market, day-ahead electricity market, and mid-long term contract market and efficient frontier of E-CVaR at different price levels, and focuses on the influence of TOU on the portfolio strategy. The analysis result shows that the risk of running of power supply company decreases as electric price difference ratio increases among the similar portfolios. According to the local electric price level, power supply company may avoid risk through adjusting the purchase in different electricity markets.