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VNM utility is basically defined as "that function whose expectation we maximize". There exists such a function as long as you obey some very unobjectionable axioms. So instead of saying "I do not want to maximize the expectation of my utility function U", you should say "U is not my utility function".
The problem with this argument, is that it boils down to, if we accept intuitive axioms X we get counter-intuitive result Y. But why is ~Y any less worthy of being an axiom then X?