I'm trying to find the exact (ie, not an approximate) relation between the "Compound Return", "Arithmetic Return", and the "Annualised Volatility" as given the assumptions below, and from there the precise meanings/definitions that should underly these numbers as presented here.
These numbers are from a bank's long-term assumptions. I can't quite figure it out, also not by trying several possibilities. I assume the "arithmetic return" is calculated from the other two. There seem quite a few possibilities (eg, continuously compounded vs annually compounded, ln-transformations, arithmetic or geometric volatility etc.) The source does not provide any mathematically precise definitions.
Can you figure out which definitions are used here?