Choose the answer that is closest to the correct answer.

If the expected return on an investment is $15\%$ and the standard deviation of the returns is $20\%,$ which of the following is closest to the utility of an investor whose level of risk aversion, $A,$ is $2?$

$-0\mathrm{.}05$

$0\mathrm{.}11$

$0\mathrm{.}20$

$0\mathrm{.}35$