On of the failings of decision theory is our 'utility functions' are not necessarily static. The most obvious case being people don't necessarily order the same thing every time they go to a restaurant.
Arguably you could model this with hidden variables. So: A mathematician might go to vegas and spend 1,000$ gamboling with the expectation that they will lose that money. With novelty being the reason that becomes a reasonable trade-off.
In that context maximizing expected utility becomes hard because you can't accurately model your utility function.
