Environmental, social and governance factors are having a greater influence on the value of companies, he said.
The $1.4 trillion fund's size makes it difficult to implement major shifts in allocations.
Norway's finance minister warned that a change in government would lead to a higher wealth tax.
Norway's wealth fund received a mandate from parliament two years ago to start buying green assets.
Part of the idea is to shape culture so staff never feel tempted to cover up their missteps.
Exxon and Chevron said in separate statements that they support the goals of the Paris Agreement.