1. Introduction Sorting out the energy problem, which deals with the access to a quality energy at an affordable cost and with due respect for the environment, becomes a key point in the agenda of many governments. In fact, the recent adoption of the European directive 2009/28 CE expressly mentions the commitment of each member state in the common European energy policy. Hence, the action plans established by states lay down a series of annual targets for the implementation and development of renewable energy generation. Should any country solve its energy needs efficiently, this fact would increase its competitiveness within its territory and make it a receiver of productive investment. The Spanish energy situation has historically been characterized by a high energy dependency and a low degree of self-sufficiency, which added to the limited capacity of terrestrial electricity interconnection with Europe (across France), Spain is considered as an energy island. On the one hand, the imported petroleum products are substantial, and, on the other hand, the contribution of domestic products on the structure of energy consumption is low. These two features are specific to the Spanish energy history, and it is not until 2004 when there is a certain improvement in this aspect. The application of efficiency and energetic planning on renewable technologies increased the share of renewable energies for covering the domestic demand, and this increased energy self-sufficiency. Eguiagaray (2008) argues that the security of supply, the environmental dimension--with regard to production and use of energy-sources--, and specific management processes of energy production and consumption are dimensions of socio-economic impact on the energy problem. Apart from these aspects, it should be pointed out that electricity generation of primary energy involves a series of intractable disturbances: the existence of externalities (social and environmental, mostly), conditioning of domestic and industrial consumption depending on availability, and unequal dependence on sources of energy that have an impact on a different level of supply security. Supply risks range from the availability of fuels, the variation in costs, wrong energy policies, political instability, etc. All this indicates that achieving the best set of technologies of electricity production becomes crucial for any country. Here is where arises the Portfolio Theory as an applicable methodology for finding those efficient combinations of electricity assets. The application of risk-return analysis to the set of technologies which operate in a territory is possible as long as that country is able to generate electricity efficiently. There is a great number of studies, all of them using the Portfolio Theory as a basis and trying to incorporate consistent methodological innovations: Awerbuch and Yang (2007) on Europe and Doherty et al. (2005) on Ireland, taking both reference the 2020 horizon. Krey Zweifel (2006) and the Swiss and American case in 2003, Roques et al. (2008) study the British case, Awerbuch et al. (2008) the Scottish case with 2010 horizon and Jansen et al. (2006) the Dutch case which has 2030 horizon. On the role of renewable energies, Munoz et al. (2009) studied the Spanish development in the period 2005-2010 using the maximization of Sharpe index approach. While there are many contributions made by experts in the form of studies, such as those mentioned, only a few States apply or incorporate their advice on energy policy. The Government of Spain has just made public the draft of the Plan de Accion Nacional de Energias Renovables--PANER-for the 2011-2020 horizon. This plan was born in response to the directive 2009/28 CE for the development of renewable energies. This scheme sets some energetic targets to be fulfilled by the Spanish state; the generation of electricity is included among them. This new plan replaces the Plan de Energias Renovables--PER--(2005-2010). …