This work studied and developed pension fund management strategies in a DC scheme, during the distribution phase. The Pension plan member (PPM) is allowed to invest in a risk-free and a risky asset, under the constant elasticity of variance (CEV) model. The constrained optimization program was developed and transformed into a nonlinear partial differential equation, using the associated Hamilton Jacobi Bellman equation. The explicit solution of the constant relative risk aversion (CRRA) is obtained, using Legendre transform, dual theory, and change of variable methods. It is established herein, with a proposition that the elastic parameter, β, say, must not necessarily be equal to one (β≠1). A theorem is constructed and proved on the pension wealth investment strategy. Through a sensitivity analysis, we exposed the dangers of CRRA utility options during the period after retirement. A numerical simulation was used to buttress our
investigation.

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