Eh? I'd argue that the basic "theoretical" result (from equilibrium models such as CAPM and its modern cousins) is not that, but:

* for optimal portfolios: more risk -> more return

* however, idiosyncratic risk of a security doesn't matter (as it can be diversified away)

* what matters is systemic risk, ie correlation with the market return (or state of the economy): something that is negatively correlated (ie protects you by returning higher returns in a bad economy) is worth more, thus has lower returns