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The CVoR is defined as the mean excess return or the conditional value-at-risk (CVaR) of the return distribution. The portfolio selection consists solely of quantile-based risk and return measures. Financial institutions that work in the context of Basel 4 use CVaR as a risk measure. In this regulatory framework sufficient and necessary conditions for optimality of the CVoR portfolio are provided under a general distributional assumption. Moreover, it is shown that the CVoR portfolio is mean-variance efficient when the returns are assumed to follow an elliptically contoured distribution. Under this assumption the closed-form expression for the weights and characteristics of the CVoR portfolio are obtained. Finally, the introduced methods are illustrated in an empirical study based on monthly data of returns on stocks included in the S&amp;P index. It is shown that the new portfolio selection strategy outperforms several alternatives in terms of the final investor wealth.<\/jats:p>","DOI":"10.1007\/s10287-021-00395-8","type":"journal-article","created":{"date-parts":[[2021,4,2]],"date-time":"2021-04-02T06:03:05Z","timestamp":1617343385000},"page":"299-324","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":5,"title":["Quantile-based optimal portfolio selection"],"prefix":"10.1007","volume":"18","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-7855-8221","authenticated-orcid":false,"given":"Taras","family":"Bodnar","sequence":"first","affiliation":[]},{"given":"Mathias","family":"Lindholm","sequence":"additional","affiliation":[]},{"given":"Erik","family":"Thors\u00e9n","sequence":"additional","affiliation":[]},{"given":"Joanna","family":"Tyrcha","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2021,4,2]]},"reference":[{"issue":"7","key":"395_CR1","doi-asserted-by":"publisher","first-page":"1505","DOI":"10.1016\/S0378-4266(02)00281-9","volume":"26","author":"C Acerbi","year":"2002","unstructured":"Acerbi C (2002) Spectral measures of risk: a coherent representation of subjective risk aversion. 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