Allocating wind farms across different locations in different countries may reduce the variability of hourly wind power changes. Taking into account cross-border transmission-capacity constraints between countries can however decrease the effect of this diversification. A portfolio-theory-based model is developed that takes into account these cross-border transmission-capacity constraints when allocating wind power as efficient as possible across different locations. Three models are developed, looking to the cases where cross-border transmission-capacity constraints are equal to infinity, zero and a certain limited value, respectively. It is notably this last model that brings new perspectives in the allocation of wind power, based on portfolio theory modelling. Keeping cross-border transmission-capacity available for wind-power flows is an effective measure to limit hourly wind-power variations. (C) 2011 Elsevier Ltd. All rights reserved.