Traditional mean–variance portfolio optimization is based on the premise that investors only care about risk and return. However, some investors also have non-financial objectives, such as sustainability goals. We show how the traditional approach can readily be extended to mean–variance-sustainability optimization and explain why this 3D investing approach is ex-ante Pareto-optimal. We illustrate its efficacy empirically in several studies, including carbon footprint and sustainable development goal objectives. Importantly, we highlight conditions under which a 3D optimization approach is superior to a naïve 2D approach augmented with sustainability constraints.