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CuSithBell comments on Not for the Sake of Pleasure Alone - Less Wrong
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You might be interested in Allais paradox, which is an example of humans in fact demonstrating behavior which doesn't maximize any utility function. If you're aware of the Von Neumann-Morgenstern utility function characterization, this becomes clearer than just knowing what a utility function is.
That's not exactly true. The Allais paradox does help to demonstrate why explicit utility functions are a poor way to model human behavior, though.