For it to display the character correctly without the html entity, you may just need to change the character encoding. See Yii::app()->charset (seems to default to utf8) and the Content-Type meta tag in your layout file.
The way to encode them would be CHtml::encode() (which uses Yii::app()->charset).
If your charset is right and CHtml::encode() doesn’t do it, you may need to use the php htmlentities() which will escape more things than the htmlspecialchars() used by CHtml::encode().