Liquidity as a measure of risk represents an important aspect in any kind of investment decision. In the financial crisis 2008 the liquidity parameter was largely ignored by many asset managers. In this work we introduce the classical definition of the Constant Proportion Portfolio Insurance (CPPI) strategy - one of the classical instruments for asset managers, that promise downside protection while still allowing participation in rising markets. While exploring the illiquidity index ILLIX and S&P 500 time series we construct a new financial market model, which includes the illiquidity risk. As a basis we have used the Heston and the Stein-Stein stochastic volatility models and extended them with the new process for the illiquidity risk. In the next step we apply the CPPI strategy on our new financial market models and derive the analytical solution for the portfolio cushion and its moments as well. To improve the downside protection of the CPPI strategy, we extend the multiplier m to the function of illiquidity process and introduce the new Liquidity adjusted Dynamic Proportion Portfolio Insurance (LDPPI). Finally we perform a Monte-Carlo simulation to visualize the improvements of the new protection strategy.