Summary: We describe some implications for the economic analysis of a model of decision making under uncertainty which generalizes the expected-utility model accepted by most economists as a representation of rational behavior. The model we use is the model of expected utility under a nonadditive probability measure, which seeks to distinguish between quantifiable ``risks'' and unknown ``uncertainties''. An axiomatic treatment of the model may be found in papers of \textit{I. Gilbao} and \textit{D. Schmeidler} [J. Math. Econ. 18, No. 2, 141-153 (1989; Zbl 0675.90012) and \textit{D. Schmeidler} [Econometric 57, No. 3, 571-587 (1989; Zbl 0672.90011)]. The focus of this paper is the problem of optimal investment decisions. Under the standard theory of expected utility, an agent who must allocate his or her wealth between a safe and a risky asset will buy some of the asset if the price is less than the expected (present) value. Conversely the agent will sell the asset short when the price is greater than the expected value. Our main theorem is a generalization of this result to the case of uncertainty. We also provide a definition of an increase in perceived uncertainty, and analyze the effect of an increase on the investment decision.