Risk is usually presented as a catch-all term for everything that could negatively impact the value of your investment. Managing risk exposure relative to expected return is a big part of what investment managers help clients with.
So how does risk relate to return? Underlying every investment decision a person can make is the opportunity cost of making an alternative decision. You could keep your cash under your mattress, but the least risky alternative is to put it in a bank where you can earn more. Unless you believe that the banking system is nearing imminent collapse, this would probably be a good tradeoff. Likewise, you could leave your money earning little in a bank account and take on the risk that it doesn’t keep up with inflation, or you could invest in stocks or bonds. In each case, you make a tradeoff between the risk you’re willing to accept for a given amount of return relative to other investments and their risk / return profiles.
What you should generally expect is that risky investments should provide investors with a higher expected return; otherwise, why wouldn’t you take the less risky option for the same return? Farther portfolios are constructed to provide a set of risk / return profiles from very low risk / low return portfolios that are primarily composed of money market and treasury bills to high risk / high return portfolios that have fewer bonds and more stock.