This paper studies the risk management of a battery bidding in both day-ahead and intraday markets arising from the uncertain nature of electricity prices. To this end, a coherent risk measure, Second-order Stochastic Dominance (SSD), which is capable of expressing battery preferences in the form of a preset fixed benchmark (profit), is incorporated into the bidding model. The SSD serves the decision-maker as a risk-averse optimizer exploring for profit distribution members greater than a preset fixed benchmark. The most challenging facet of SSDconstrained methodologies is how to effectually define the preset fixed benchmark. In this regard, first, a generic approach is offered to find the feasible region for benchmark selection in SSDconstrained optimization problems. Then, a novel benchmark selection technique considering both the decision-maker's regret and out-of-sample profit, leverages the VIKOR method to get the ranking of different solutions and find the compromise benchmark in the risk-aware environment. Consequently, two decisive criteria from both ex-ante and ex-post tests are involved in the benchmark selection procedure, making the bidding problem regret-and consequence-aware. The numerical results of the developed methodology against risk-neutral and deterministic approaches show the efficiency of the proposed model.