"Don't put all your eggs in one basket" is common wisdom with respect to financial portfolio theory. The configuration of customer portfolios with regard to ap- propriate risk and return measures, however, is gene- rally an accidental occurrence based on a number of separated loyalty or acquisition initiatives rather than a deliberate planning process. In this contribution, we propose to use portfolio selection theory to identify the optimal configuration of a customer portfolio. Specifi- cally, we look at two broad customer segments: trans- action- and relationship-oriented customers. E-tailers are of special interest, since the target-oriented acqui- sition and servicing of specific customer seems to be more easily achievable due the new means of commu- nication. A first evaluation based on customer lifetime value is realized with a publicly accessible set of empirical data from the online-retailer CDNow.