The article explores different investment strategies in the 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 over all asset classes or dynamically optimizing over major asset classes and individual stocks were also effective strategies. The study suggests that optimizing or naively allocating over limited asset classes may actually harm risk-adjusted performance.