The aim of this paper is to propose optimal strategies for dengue reduction and prevention in Cali, Colombia. For this purpose, we consider two variants of a simple dengue transmission model, epidemic and endemic, each of which is amended with two control variables. These variables express feasible control actions to be taken by an external decision‐maker. First control variable stands for the insecticide spraying and thus targets to suppress the vector population. The second one expresses the protective measures (such as use of repellents, mosquito nets, and insecticide‐treated clothes) that are destined to reduce the number of contacts (bites) between female mosquitoes (principal dengue transmitters) and human individuals. We use the Pontryagin's maximum principle in order to derive the optimal strategies for dengue control and then perform the cost‐effectiveness analysis of these strategies in order to choose the most sustainable one in terms of cost–benefit relationship. Copyright © 2016 John Wiley & Sons, Ltd.