Forget about social responsibility. It's a matter of simple risk diversification principles. Norway's sovereign wealth fund should not invest at all in assets tied to fossil fuels. If anything, it should lean toward assets that move in the opposite direction from fossil fuel prices.
This fund, of course, is entirely financed by Norway's North Sea oil royalties. Its future revenues from this source, then, are dependent on oil prices. These fluctuate with short run events like the pace of global economic growth (demand) and civil unrest in petrostates (supply). The biggest long term factor, however, is whether there will be significant movement toward climate change mitigation. At present next to nothing is being done. The problem is immense, however, and there is an obvious risk, from the point of view of an oil producer like Norway, that new evidence of climate sensitivity will frighten governments into action before deposits are exhausted. If there is a major intensification of policy, it will result in massive earnings reductions for oil and coal, and possibly also natural gas—of which Norway is also a significant exporter. (Prices will shoot up, but this effect will be captured either by governments or by resource-using businesses if permits are given away.) To put it differently, the point of mitigation measures is to leave fossil fuels in the ground, which would mean that resource owners like Norway would simply have to write off these assets.
Given that risk, the prudent thing to do is to avoid any investments whose returns are positively correlated with it. That means divesting from Shell and any other fossil fuel companies. A rational hedging strategy, on the other hand, would call for investments in companies whose prospects are tied to aggressive carbon policy, such as those in the renewables sector, public transportation, and whose products compete with fossil fuel-intensive goods.
Sometimes social responsibility points in one direction and sound finance in another; here they converge. It’s remarkable there should be any debate at all.