What do we know about risk?

There is only one riskless asset: inflation-protected government bonds.
Stocks are riskier than bonds, except over the very long term.
Portfolio risk is not the sum of individual securities' risks. Spreading risk correctly (i.e. diversifying) reduces portfolio risk without jeopardising expected returns.
Financial markets are random in the short term, but they revert to the mean over the long term.
Large price shifts have a higher probability than a normal distribution would suggest. Financial markets are riskier than most models suggest.
Most investors are averse to risk.