Sustainable investments generate not only financial returns, but also non-financial benefits, such as social impact or sustainable performance. For investors (including pension funds, insurers, and asset managers), it is becoming increasingly important to consider this sustainable dimension explicitly in their investment policy and to align this policy with the preferences of participants and customers. Existing research on sustainable investing focuses almost exclusively on uncertainty in financial returns, while uncertainty about sustainability performance (such as the degree of uncertainty surrounding impact) is largely ignored. This project investigates how investors, including pension participants and fund investors, make choices when faced with uncertainty in both financial and sustainability performance.