TY - JOUR T1 - Cleaning a Passive Index JF - The Journal of Portfolio Management SP - 110 LP - 118 DO - 10.3905/jpm.2006.628412 VL - 32 IS - 3 AU - Moshe Arye Milevsky AU - Andrew Aziz AU - Allen Goss AU - Jane (Thomson) Comeault AU - David Wheeler Y1 - 2006/04/30 UR - https://pm-research.com/content/32/3/110.abstract N2 - 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 ER -