Markowitz et al (2009)

Markowitz, Harry, Mark Hebner, Mary Brunson, and Patrick Stark. “Can You Do Well While Doing Good?” Investing for Catholics, Index Fund Advisors. October 2009.

Markowitz, from the body of the paper:

[C]an you do well for your investors while doing good for the world? The first of these two essays [by Hebner, Brunson, and Stark] shows that in fact little is lost by thus restricting the universe of permitted securities. The present essay is theoretical. In it I explain why I am not a bit surprised by the conclusion in the first essay…

[I]t seems safe to say that an ethics screen which reduced available securities from about 12,000 to about 4,000 would have to be quite strange to make it impossible to select a reasonably liquid, well diversified portfolio with returns comparable to those usually found in portfolios of well-established companies with similar levels of portfolio volatility.

Link:  https://www.ifa.com/pdfs/can-you-do-well-while-doing-good.pdf