为解决分级基金定价及初始投资配置策略问题,本文尝试采用鞅论分析法和倒向随机微分方程予以研究。研究结论认为:分级基金B份额的定价体现出期权属性,且A份额的价格相对于B份额定价显得尤为重要。此外,分级基金需要体现初始杠杆水平的差异化;由于分级基金的标的证券(或指数)不同,当期的资产投资配置策略需要有针对性。 In order to solve the problem of classification fund pricing and initial investment allocation strategy, this paper attempts to study using the martingale theory and backward stochastic differential equations. The conclusion of the study is that the pricing of the B shares of the classification fund reflects the option attributes, and the price of the A shares relative to the B share pricing is particularly important. In addition, the classification of funds need to reflect the initial level of leverage differentiation; due to the underlying funds underlying securities (or index) is different from the current asset allocation strategy needs to be targeted.