The first part of this paper addresses the applicability of the Markowitz portfolio theory to investing in Contracts for Firm Transmission Right (CFTRs) or Transmission Congestion Contracts (TCCs) typical for electricity markets in Northeastern US (PJM, NY ISO, ISO New England). Special emphasis is placed on the use of the principal component analysis providing for a dramatic reduction in the size of the optimization problem, selecting subsets of statistically independent CFTRs/TCCs and on the mathematical formulation of necessary and sufficient conditions for arbitrage opportunities. The second part of the paper is dedicated to the analysis of profit-maximizing bidding strategies available to large players with significant Auction Revenue Rights (ARRs). The use of the Supply Function Equilibrium technique provides for a closed form solution in the case of two strategic players competing for CFTRs over a major interface.