The idea that you would not pay extremely close attention to downside risk or upside return and only look at the average is absurd in human life. Expected utility is not what you maximize. It's a stupid idea. Even if we follow the rough guidelines, the fact that the details that we can get given empirical evidence will not allow us to make a decision even in that framework are a problem.
Philosopher and author L.A. Paul talks about her book Transformative Experience with EconTalk host Russ Roberts. Paul explores the uncertainties that surround the transformative experiences that we choose and that happen to us without choosing. How should we think about the morality and personal impact of these kinds of experiences, especially when some decisions are very hard or impossible to reverse? Examples include becoming a vampire, having children, religion, and other life experiences and choices.