This paper reports the evidence of a multi-stage experiment on individual decision-making with ambiguity, where the latter is characterized by the (partial or) absence of information on some monetary values in the support of the lottery distributions. This complements the standard treatment of ambiguity where decision-makers know the monetary prizes, but probabilities are uncertain. In our structural estimation we assume that subjects i) form point estimates of the uncertain monetary payoffs and ii) employ a standard mean-variance (random) utility function to evaluate lotteries. This yields a simultaneous estimation of both uncertain payoffs and variance sensitivity. Our main finding is that subjects evaluate more optimistically uncertain payoffs in absence of information, compared to the condition in which they know the probability distribution from which they are drawn.