<p>A highly relevant problem of modern finance is the design of VaR optimal portfolios. Due to contemporary financial regulations, banks and other financial institutions are tied to use the risk measure to control their credit, market, and operational risks. Despite its practical relevance, the non-convexity induced by VaR constraints in portfolio optimization problems remains a major challenge. To address this complexity more effectively, this paper proposes the use of the BDCA to approximately solve a Markowitz-style portfolio selection problem with a VaR constraint. As one of the key contributions, we derive a novel line search framework that allows the application of the algorithm to DC programs where both components are non-smooth. Moreover, we prove that the BDCA linearly converges to a Karush-Kuhn-Tucker point for the problem at hand using the Kurdyka-Łojasiewicz property. We also outline that this result can be generalized to a broader class of piecewise-linear DC programs with linear equality and inequality constraints. In the practical part, extensive numerical experiments under consideration of best practices then demonstrate the robustness of the BDCA under challenging constraint settings and adverse initialization. In particular, the algorithm consistently identifies the highest number of feasible solutions even under the most challenging conditions, while other approaches from chance-constrained programming lead to a complete failure in these settings. Due to the open availability of all data sets and code, this paper further provides a practical guide for transparent and easily reproducible comparisons of VaR-constrained portfolio selection problems in Python.</p>