The use of modern portfolio theory (MPT) is a common practice to derive efficient frontiers and support portfolio decision making in financial markets. Although real projects present different characteristics and technical restrictions, the general objective of the decision maker is the same: to maximize the expected return minimizing the portfolio risk. Long term electricity generation decision making is characterized by high uncertainty, high impact on social welfare and a large set of diversified technologies that may be included in future scenarios. The possibility of applying MPT approach to define efficient electricity generation portfolios is explored in this paper focusing on particular in renewable energy sources (RES technologies). The use of MPT for building RES scenarios is demonstrated for the particular case of Portugal. One year hourly data concerning power output from wind, hydro and solar plants along with the power demand was collected and included in the analysis. Three different approaches were considered for designing the efficient frontiers aiming at maximizing the RES electricity generation, minimizing deviation between the demand and the RES production and minimizing the levelised cost of the RES system. The results demonstrate how this approach can be an effective tool to support decision making but put also in evidence the need to build modified MPT models in order to take into account the technical restrictions of the system.