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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., Comment: 19 pages, 8 figures

This publication is the result of a coordinated effort. The bibliography work was done by the CRBP Staff who entered all data on a single computerized database that accommodates both the Bibliography on Cold Regions Science and Technology and the Antarctic Bibliography thus eliminating duplication of effort between the two bibliographies. Citations were entered in the Cuadra STAR system, and camera-ready copy for printing was produced using the FrameMaker composition system. This publication is available from the National Technical Information Service, Springfield, Virginia 22151. When ordering, the author and subject indexes (Part 2) should also be requested, as the usefulness of the bibliography would be severely limited without them.