The normal VNM approach is to start with an agent whose behavior satisfies some common sense conditions: can’t be money pumped and so on.
Nitpicks: (1) the vNM theorem is arguably about preference, not choice and behavior; and (2) “can’t be money pumped” is not one of the conditions in the theorem.
Nitpicks: (1) the vNM theorem is arguably about preference, not choice and behavior; and (2) “can’t be money pumped” is not one of the conditions in the theorem.