Ideally, financial analysts would like to be able to optimize a consumption–investment game with many securities, many time periods, transaction costs, and changing probability distributions. We cannot. For a small optimizable version of such a game, we consider in this article how much would be lost by following one or another heuristic that could be easily scaled to handle large games. For the games considered, a particular mean–variance heuristic does almost as well as the optimum strategy.