The article examines different investment strategies in Turkish markets from 2007 to 2012. By comparing stock-picking and asset allocation approaches, researchers found that dynamic strategies using the Sharpe Ratio optimizer performed best, reducing risk and improving portfolio performance. Naively diversifying across asset classes also showed positive results. However, blindly allocating investments over limited asset classes could actually increase risk. Dynamic optimization over all major asset classes and individual stocks yielded the most favorable outcomes.