The growth of the national electricity market has attracted many trading and generators agents to the sector. However, the players in the market face the challenges of high price volatility. From the generators point of view, in addition to the market price risk, there are uncertainties associated with own generation that depends on the generation technology. In this way, the portfolio optimization technique is an approach that aims to improve the management of a business and achieve strategic objectives in an environment of uncertainty. Among the various technologies and mathematical models in the literature, the ones that stand out the most are those of computational intelligence, which are widely explored in portfolio optimization applied in other segments of the industry. In this work, we investigate the application of meta-heuristics applied to electricity portfolio optimization problems in the Brazilian market. The results obtained indicate that such techniques are adequate, contributing to improve the management and the results of the trader’s companies.