In order to preserve and increase the value of pension fund, a fund manager can invest pension fund into a financial market with a risk-free asset, a stock and a zero-coupon bond. In the financial market, short rate is assumed to follow stochastic affine interest rate model, while stock price is supposed to be driven by Heston's stochastic volatility model. The fund manager expects to obtain an optimal portfolio to maximize the expected utility of terminal utility. Assuming the risk-aversion of the fund manager to satisfy power utility or exponential utility, the explicit solutions to the optimal portfolios with power utility or exponential utility are obtained by using the principle of stochastic dynamic programming and the variable change technique. Finally, a numerical example is given to analyse the impact of main market parameters on the optimal portfolios. Research results show that interest rate risk, volatility risk and contribution rate have a considerable influence on decision-making of fund manager for the defined-contribution pension found.