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Which (possibly all) of the VNM axioms do you think are not appropriate as part of a formulation of rational behavior?
I think the Peano natural numbers is a reasonable model for the number of steins I own (with the possible exception that if my steins fill up the universe a successor number of steins might not exist). But I don't think the Peano axioms are a good model for how much beer I drink. It is not the case that all quantities of beer can be expressed as successors to 0 beer, so beer does not follow the axiom of induction.
I think ZFC axioms are a poor model of impressionist paintings. For example, it is not the case that for every impressionist paintings x and y, there exists an impressionist painting that contains both x and y. Therefore impressionist paintings violate the axiom of pairing.
I don't think that rational behaviour as understood on LW (basically, instrumental rationality) has anything to do with VNM axioms. In particular, I do not think that the VNM model is an adequate model of human decision-making once you go beyong toy examples.