Abstract: China has preliminarily established a diversified market system, with long-and medium-term markets as its major forms. How to deal with multiple market electricity prices, coupling of contracts fulfillment processes and market risk has become a key issue for power plants. On the background of hydropower dominated Yunnan electricity market in China, a method was proposed for monthly scheduling of cascade hydropower in multiple time scale markets, in which a revenue-risk combined generation schedule model was constructed base on the multiple market architecture and its settlement rules, further, generalized disjunctive programming and linearization techniques were applied to transform the original model into a mixed integer linear programming（MILP） one. Experiments of its application in Lancang River show that it can lead the hydropower cascade to response to the variation of market prices, optimize their electricity allocation for high revenue, and avoid risks by portfolio investment among different markets. Above all, the proposed method provides an effective way for hydropower cascade to deal with the new market issues in China.