RT Journal Article SR Electronic T1 Cleaning a Passive Index JF The Journal of Portfolio Management FD Institutional Investor Journals SP 110 OP 118 DO 10.3905/jpm.2006.628412 VO 32 IS 3 A1 Moshe Arye Milevsky A1 Andrew Aziz A1 Allen Goss A1 Jane (Thomson) Comeault A1 David Wheeler YR 2006 UL https://pm-research.com/content/32/3/110.abstract 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