This paper, has systematized the literature review, and with its critical view towards international and especially European sustainable finance policy and methodologies, has marked three important problems that affect up until today the design and implementation of environmental, social and sustainable policies in the sustainable financial performance of capital market. Environmental, social and sustainable performance measures, as well as the taxonomy system, the evaluation and notification of information that are related to the consequences of sustainable policies, represent a modern challenge for creating a completer methodology in the field of sustainable finance. In a practical level the challenge still remains: 1) if the policies, methodologies and researches in this category, allow researchers and financial stakeholders, as well as firms managers to follow and to evaluate sustainable finance in a reliable manner, 2) if the sustainable policies of firms are successful and recognized by the capital market. As every new scientific field, so “Sustainable Finance” must be framed with theories that should define the efficient operation of “Sustainable Market Capital” and get new holistic “Sustainable Finance model” created. The purpose of this paper is to define the theory of Sustainable Capital Market and the Holistic Sustainable Finance Models.