The normative model of choice under uncertainty assumes that an individual's preference should depend only on the probabilities of outcomes and on the amount of payoffs and not on any other factors. Ellsberg has empirically demonstrated that when the probability of an outcome is vague, it can affect decision making behavior. This fundamental issue was addressed by Knight and Keynes, who distinguished uncertainty by measurable uncertainty which can be represented by precise probability (or known probability) and unmeasurable uncertainty which cannot be represented by precise probability (unknown probability). In this thesis, we study decisions under uncertainty in a wide variety of contexts. Our findings provide some insights into how people judge the relative desirability of an uncertain event.;Our empirical studies entail both the comparative condition and Noncomparative condition to study how the decision behavior is systematically affected by these conditions. In the comparative condition a person evaluates a clear prospect (or known probability) and a vague prospect (or unknown probability) simultaneously. In the noncomparative condition a person evaluates only one of the two prospects. The ambiguity about probability is enhanced by the comparative condition. When there is no basis of comparison, the ambiguity about the probability is not so prominent in the decision making.;The distinction between known and unknown probabilities has been widely addressed on the basis of how it affects decisions. We further distinguish between unknown probability; that is, the decision maker does not know the probability but somebody else such as the experimenter does, and unknowable probability where nobody including the experimenter knows about the probability. We are interested on how does a decision maker's preferences depend on these three types (known, unknown, unknowable) of probabilities.;Decisions under ambiguity depends on several factors such as the source of uncertainty, one's knowledge base, and people's evaluation of ones' actions. In this study, we propose that people's willingness to bet on an uncertain situation is also influenced by social comparison. Suppose a person receives a vague prospect and his cohorts receive a clear prospect each, we hypothesize that the person's willingness to pay for the vague prospect will be lower in this situation than in a situation where his cohorts also receive a vague prospect each. The normative decision theories ignore the behavior and attitudes of an individual decision maker in a social context. The social comparison hypothesis is supported in a series of experiments showing that when people feel worse off they are willing to pay less and when people feel better off they are willing to pay more for the same prospect.;Several of our studies deal with real-world events (e.g. Dow Jones index goes up or down) and contemporary events (e.g. which team will win a Gold Medal in an Olympic sport). The main conclusion of our studies seem to hold whether one employs the Ellsberg experiments, real-world events or contemporary events. The cumulative evidence from our studies indicates that people do not treat all subjective probabilities alike. In people's minds a probability of 0.5 is not the same across contexts. Their betting behavior is influenced by both the quantitative probability and the qualitative aspects (confidence, knowledge, information possessed, social comparison, etc.). These findings provide new insights into decisions under uncertainty.
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