The global construction industry, a cornerstone of economic development and social infrastructure, stands at a critical juncture. Traditionally characterized by high volatility, thin profit margins, and significant risk exposure, the sector is now being reshaped by the dual forces of technological disruption and the imperative of sustainability. This paper provides a comprehensive review of the evolving interplay between risk, financial return, and sustainability within the construction sector. We analyze the traditional risk-return profile of construction firms, highlighting the unique financial challenges they face, including project-specific risks, cyclical demand, and regulatory pressures. The review then systematically explores the emergence of Environmental, Social, and Governance (ESG) criteria as a transformative factor, arguing that sustainability is no longer a peripheral concern but a central determinant of both risk mitigation and value creation. A significant portion of the paper is dedicated to the revolutionary role of Artificial Intelligence (AI) and Machine Learning (ML) models in recalibrating this risk-return-sustainability equation. We catalog and evaluate applications of AI/ML in predictive risk analytics, project cost and schedule optimization, ESG performance monitoring, and automated credit scoring. The synthesis concludes that the integration of robust sustainability practices, underpinned by sophisticated AI/ML-driven analytics, is paving the way for a new paradigm where enhanced risk management is directly linked to superior long-term financial returns and resilient business models. The paper identifies key research gaps and proposes future directions for interdisciplinary studies combining finance, sustainability science, and data analytics.