If it's worth saying, but not worth its own post (even in Discussion), then it goes here.
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Because you're ignoring risk.
The expectation is a central measure of a distribution. If that's the only thing you look at, you have no idea about the width of your distribution. How long and thick is that left tail which is curling around preparing to bite you in the ass? Um, you don't know.
Is that a critique of expected utility maximization in general, or are you saying that concave functions of wealth aren't risk-averse enough?