you shouldn’t always maximize expected utility if you only live once. Expected values — in other words, averages — are very important when you make the same small bet over and over again. When the stakes get higher and you aren’t in a position to repeat the bet over and over, it may be wise to be risk averse.
Isn’t that the same as maximizing expected utility, but with a different utility function?
Isn’t that the same as maximizing expected utility, but with a different utility function?