Abstract: Targeting at the asymmetry and opaqueness of information， and based on the grey game theory， the game behaviors of private equity investment participants in the process of regulating and being regulated were studied. The parties’ expected revenue of the private equity investment fund with government regulation was discussed， and the equilibrium points in different situations were located according to the expected revenue. The results indicated that if the revenue of illegal operations is more than that of legal operations with government regulation， investors are likely to opt for illegal operations. Therefore， the government should set up special regulators or laws to regulate private equity investment and increase the punishment towards investors’ illegal operations so as to reduce the possibility of such acts. Besides， the thirdparty selfregulatory organizations should get involved under certain conditions.

Key words: private equity investment, government regulation, grey game theory, revenue, equilibrium