The introduction of a mix of tax shares has been the main reform of the Spanish regional financing system,in effect since January 2002.The aim of this pa- per is obtaining,given a basic expenditure needs,its optimal composition for each re- gional government (so-called «Comunidad Autónoma de Régimen Común »)and for the central government.The optimality of the mix comes from the minimisation of the variance of the mix of taxes given a certain tax yield (Markowitz,1952)and gua- ranteeing,at the same time,the financial sufficiency in the first year.The results ob- tained from applying the methodology for the period 2002-07 show a certain hetero- geneity among regions with respect to the composition of the optimal tax mix.As long as both tax yield and financial risk are taken into consideration,the preferred ta- xes are gasoline taxes,alcohol taxes,and cigarette taxes.Given that these excise ta- xes do not guarantee financial sufficiency,these are complemented with tax shares in the VAT and in the personal income tax.In the extreme cases in which either only tax yield or financial risk is taken into account,with respect to the complementary tax shares,regions prefer the VAT and the personal income tax,respectively.