Climate change is the societal ill wealth entrepreneurs care most about solving, a new piece of research indicates.

BNP Paribas Wealth Management surveyed more than 1,100 entrepreneurs about their attitudes to sustainable and impact investing. The participants had an average of $16.1 million in investible assets and either owned, or used to own, a business.

When asked which of the 16 United Nations sustainable development goals (SDGs) were most important,...