PT - JOURNAL ARTICLE AU - Moshe Arye Milevsky AU - Andrew Aziz AU - Allen Goss AU - Jane (Thomson) Comeault AU - David Wheeler TI - Cleaning a Passive Index AID - 10.3905/jpm.2006.628412 DP - 2006 Apr 30 TA - The Journal of Portfolio Management PG - 110--118 VI - 32 IP - 3 4099 - https://pm-research.com/content/32/3/110.short 4100 - https://pm-research.com/content/32/3/110.full AB - The debate regarding the broader role of corporations in society has landed squarely in the lap of pension fund and endowment managers; many are being pressured by stakeholders to divest portfolios of companies that lack so-called social responsibility. While the debate goes on, optimization can be used to locate portfolio substitutes for companies that fail a corporate social responsibility screen. The penalty for eliminating a small group of undesirable stocks—whether justified or not—can be economically insignificant when the remaining investments are properly realigned.TOPICS: ESG investing, foundations & endowments, pension funds