Before revision:  We find that the portfolio trajectory resulting from the hedging strategy, when analysed pathwise , is sensitive to Greeks beyond the leading first-order Delta, and is Gamma-sensitive in particular. This provides a theoretical underpinning to reconcile traders' practice of Gamma-neutral hedging. We interpret the Gamma position in terms of (co-)variance swaps on the underlying securities, and we enlarge classical strategies in cash and stocks with positions on such swaps. Furthermore, the proposed framework addresses robustness of Delta hedging. We analyse the error that a practitioner incurs into when hedging with the wrong model. We do so without assuming an Ito's diffusion form for the actual price dynamic, whose trajectory can in particular be rougher than Brownian motion .
After revision:  We find that the portfolio trajectory resulting from the hedging strategy, when analysed pathwise , is sensitive to Greeks beyond the leading first-order Delta, and makes explicit the role of Gamma sensitivities .