Socially Responsible Investments (SRI) or, referring to real estate, Responsible Property Investment (RPI) are used by competing firms to create a differentiating attribute by integrating sustainability principles into their business strategy. Recent research on sustainability concentrates mainly on property-level profitability of green buildings along with the development and implementation of sustainable certifications. A second strand of emerging literature focuses on the company level by investigating the financial implications of corporate social responsibility agendas. The purpose of this paper is twofold. Firstly, it attempts to bridge the existing gap in the real estate literature between sustainability principles and investment analysis. Secondly, it seeks to analyse the effect of responsible investments within a multi-asset portfolio optimisation model. To this aim, listed real estate companies with an active ESG-Agenda will be identified and serve as the sustainable real estate asset class in our analysis. Using a number of optimisation techniques, it will be established empirically whether diversification benefits can be achieved by investing in high-ESGí companies. The results of the study highlight the potential role listed real estate companies with high ESG ratings can play in a multi-asset framework. ESG = Environmental, Social and Governance