Funds allocation for unit trust companies is a challenging problem because it has to satisfy several conditions and constraints imposed by the regulatory authorities such as the Securities Commission. The motives for these regulations are to ensure the safety of these funds, liquidity of investments, to reduce any risk, etc. The Government also imposes certain conditions to fulfill national priorities, such as the promotion of Islamic investments. While fulfilling the above constraints, fund mangers should not lose sight of maximizing returns, which is the core objective of any investment. A challenging aspect of any financial investment decision lies in identifying and selecting bonds and shares for investment.