The major objective of any portfolio insurance strategy is to limit the downside risk of a risky asset (or a portfolio of risky assets), while simultaneously maintaining most of the upside return potential. Evaluate three portfolio insurance techniques of your choice. 

Consider a portfolio that is Delta neutral, with a Gamma of - 2,500 and a Vega of  - 4,000. The following traded options are available: 

	Delta	Gamma	Vega
Option 1	0.3	0.25	1
Option 2	0.25	0.4	0.6

 

Calculate and explain what positions need to be taken to make the portfolio both Gamma and Vega neutral, as well as Delta neutral.