You may have a look onto this discussion. We solved it the following way:
if(NOT CMAKE_VERSION VERSION_LESS 3.12)
install(TARGETS myProj EXPORT myProj
RUNTIME DESTINATION ${CMAKE_INSTALL_BINDIR} COMPONENT runtime
LIBRARY DESTINATION ${CMAKE_INSTALL_LIBDIR} COMPONENT runtime NAMELINK_COMPONENT development
ARCHIVE DESTINATION ${CMAKE_INSTALL_LIBDIR} COMPONENT development
RESOURCE DESTINATION ${CMAKE_INSTALL_DATADIR} COMPONENT development
)
if(BUILD_SHARED_LIBS)
if(MSVC)
install(FILES $<TARGET_PDB_FILE:myProj> DESTINATION ${CMAKE_INSTALL_BINDIR} CONFIGURATIONS Debug RelWithDebInfo COMPONENT debug)
endif()
endif()
else()
install(TARGETS myProj EXPORT myProj
RUNTIME DESTINATION ${CMAKE_INSTALL_BINDIR} COMPONENT runtime
LIBRARY DESTINATION ${CMAKE_INSTALL_LIBDIR} COMPONENT runtime NAMELINK_SKIP
ARCHIVE DESTINATION ${CMAKE_INSTALL_LIBDIR} COMPONENT development
RESOURCE DESTINATION ${CMAKE_INSTALL_DATADIR} COMPONENT development
)
if(BUILD_SHARED_LIBS)
install(TARGETS myProj EXPORT myProj LIBRARY DESTINATION ${CMAKE_INSTALL_LIBDIR} COMPONENT development NAMELINK_ONLY)
if(MSVC)
install(FILES $<TARGET_PDB_FILE:myProj> DESTINATION ${CMAKE_INSTALL_BINDIR} CONFIGURATIONS Debug RelWithDebInfo COMPONENT debug)
endif()
endif()
endif()