Electricity is vital for our societies. Until recently, in most countries, electricity production was the business of one, usually state-owned, company that did not care about competitiveness just because energy production was a monopoly. However, this has changed and now energy is produced by many and different companies. Thus, competition was introduced in the market and now companies have to deal not only with generation efficiency, transmission loads, etc., but also with risk management, derivative products, and portfolio optimization. Until recently, quantitative methods in finance have been used to deal with these new “problems.” Not a long time ago it was made clear that the introduction of fuzzy mathematics in quantitative methods in finance would allow people to better deal with these specific problems. A number of extensions have been proposed in order to better deal with various problems. Here, we examine how the use of neurosophic sets can lead to an even better handling of the finance related problems that are involved in the production and distribution of electricity.