CGridView is striping out the HTML tags : Solved

The solution is to specify the column type as "raw":

$this->widget('zii.widgets.grid.CGridView', array(

    'dataProvider'=>$dataProvider,

    'columns'=>array(

        array(            

            'name'=>'column1',

            // call the method 'getLink' from a model.

            'value'=>array($model, 'getLink'), 

            'type'=>'raw',

        ),

    ),

));