Current research on sustainable property investment focuses mainly on property-level profitability of green buildings along with the development and implementation of eco-certifications. A second strand of studies investigates the company-level financial implications of corporate social responsibility agendas. This paper seeks to expand the current literature by analysing the effect of responsible investments within a multi-asset portfolio optimisation model. It also attempts to bridge the existing gap in the real estate literature between sustainability principles and investment analysis. To this aim, listed real estate companies with an active sustainability agenda are identified as the sustainable real estate asset class. Applying a number of robust optimisation techniques, we establish empirically whether diversification benefits can be achieved by investing in companies with a proven track record in sustainability. The results of the study highlight the potential contribution of listed real estate companies with high sustainability ratings to an institutional investor´s portfolio taking into account differences in investment style and risk aversion. ESG = Environmental, Social and Governance