Abstract: The supervision of state-owned assets is not only an important issue in the reform of state-owned assets but also the key to the preservation and appreciation of state-owned assets. This research combines the generality of modern enterprise governance with the Chinese characteristics of adhering to the Party’s leadership over state-owned enterprises and proposes a new regulatory framework for state-owned assets. By combining the principal-agent chain relationship of mixed-ownership enterprises, a grey principal-agent model under the incomplete information on agents’ actions is constructed, and based on the constructed model, and an optimization algorithm of the grey principal-agent problem is designed by employing the cooperative game equilibrium solution. The results show that: under the condition of constant supervision intensity, the optimal effort level of public and non-public managers of state-owned asset appreciation is inversely proportional to their effort cost coefficient, that is, the lower the effort cost coefficients of the public and non-public managers, the higher the optimal effort levels, thereby the higher the level of asset appreciation. In addition, the asset appreciation incentive coefficient of public and non-public managers always decreases with increasing supervision intensity. With the increase in supervision intensity, the income of the enterprise always increases, but the net profit decreases after exceeding the critical point of optimal supervision intensity, which means that the optimal supervision intensity to maximize the interests cannot guarantee the maximization of asset appreciation. By introducing the collaborative regulatory framework, the greyness of the three participants’ income decreases, and the minimum incomes of the three participants under supervision can be guaranteed to be higher than that without supervision over a wide range.