It does NOT mean the real expected return. The whole area of risk is a minefield. If you can count your millions, you're not a billionaire. These are theoretical, not practical concepts. The bad news is that we use statistics to measure risk too.
Risk is related to the spread of our results.
The dispersion is called the variance. Risk is related to the dispersion of a distribution. So here's another example to make sure you understand this bit. The greater the risk, the larger the variance. The greater the risk, the larger the standard deviation.