Background: The most significant changes caused by the COVID-19 crisis were the sharp increase in working from home and the growing importance of e-commerce, which affected the development of some industries. This change also affects the investors' investment operations, which are based on analysis to ensure an unquestionable certainty of the invested financial amount and a satisfactory return. It is, therefore, interesting to analyze the possible return of the chosen investment strategy based on the optimization model of portfolio selection based on the CVaR risk measure. Purpose: The paper aims to present the possible use of the analysis of returns of effective portfolios constructed based on the optimization model of portfolio selection based on the CVaR risk measure during the crisis (COVID-19) and the pre-crisis period. Study design/methodology/approach: Paper presents the impact of the COVID-19 crisis on investor decision-making through the CVaR risk measure, which was implemented on the historical data of the components of the Standard and Poor's 500 stock index (S&P 500) in the crisis period as well as in the pre-crisis period. Findings/conclusions: The presented approach based on the CVaR risk rate measure and the relevant portfolio selection model provides the investor with an effective tool for allocating funds to the financial market in particular segments in both monitored periods. Limitations/future research: Time series data are divided into two periods based on visible factors such as the number of COVID-19 cases. In future research, we aim to divide monitored periods based on unobservable factors influencing investors' decisions, such as bull or bear mood on the market.