The UN list of Sustainable Development Goals (SDGs) has made it widely recognized that sustainability is not exclusively an environmental concept but it rather has multiple dimensions. In the same vein, different non financial information and actions, specifically environmental, social, and governance (ESG), have been provided and undertaken by companies. However, since their introduction, many scholars have questioned whether these three ESG dimensions are equally important under different perspectives. For example, especially since the process of climate change is rapidly evolving, recently, the environmental dimension (E-Pillar) has received more attention than other sustainability factors. In this paper, we focus on the investment decision-making process of retail investors when ESG information is provided. Moreover, in addition to considering the E, S, and G dimensions, we introduce an F-dimension, which encompasses actions that aim to directly impact future generations. In order to explore the mentioned relationship, we follow an experimental approach that allows us to disentangle how these four dimensions (E, S, G, and F) interact with different risk-return configurations and, therefore, with investors' preferences. Preliminary analyses indicate that investors trade-off financial returns with pro-social objectives, i.e. they invest in sustainable companies in which they would not have invested if they had considered only the personal financial consequences. Furthermore, our results show that the subjects attribute different weightings to the ESGF dimensions: when adopting a purely sustainable perspective, the E-Pillar ranks first, while when adopting a financial perspective, the S-Pillar is the most relevant. Finally, the F-pillar does not seem to play a significant role in the decision, because it is perceived as a factor complementary to the other three.