This paper presents a methodology to assist a strategic producer in making informed decisions on generation investment in power market environment. This producer, facing a number of uncertainties which affect its expected profit, endeavors to maximize its profit and at the same time manages the risk of these uncertainties. In order to present the strategic behavior of the producer, supply function is used through a risk constrained two-stage stochastic bi-level model. The upper-level problem considers risk management of the investment decisions and strategic production actions, and the lower-level problems correspond to pool market clearing under different operating conditions. Uncertainties due to demand quantity and biding, rival investment and rival contribution in the market, are taken into consideration through scenarios. In order to model the risk management of the producer, conditional value at risk is used as a risk term. The investment is static and a single target year is considered with demand variations modeled through a number of blocks. The effectiveness of the proposed methodology is demonstrated by a case study on 24 bus IEEE test system. The results are reported and discussed.