  In the present paper we provide a two-step principal protection strategy
obtained by combining a modification of the Constant Proportion Portfolio
Insurance (CPPI) algorithm and a classical Option Based Portfolio Insurance
(OBPI) mechanism. Such a novel approach consists in assuming that the
percentage of wealth invested in stocks cannot go under a fixed level, called
guaranteed minimum equity exposure, and using such an adjusted CPPI portfolio
as the underlying of an option. The first stage ensures to overcome the so
called cash-in risk, typically related to a standard CPPI technique, while the
second one guarantees the equity market participation. To show the
effectiveness of our proposal we provide a detailed computational analysis
within the Heston-Vasicek framework, numerically comparing the evaluation of
the price of European plain vanilla options when the underlying is either a
purely risky asset, a standard CPPI portfolio and a CPPI with guaranteed
minimum equity exposure.
