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The authority on risk and asset allocation is William F. Sharpe himself, who has many articles and interactive features available on his own website.
He even has worksheets and market data that let you find standard deviations and covariances of real classes of investments.
Also see the website of Sharpe's company Financial Engines for an idea of how this approach is used in a commercial product.
Be sure to try the simulation demo.
Here is a nice demo that lets you build the efficient frontier for two or more asset classes.
This CAPM article provides a good balance between readable English and gruesome math.
For information on the Fama and French three factor model, see
Ken French's website,
Dimensional Fund Advisors,
DFA's retailer Index Funds Advisors,
and this article on doing a three factor regression in a spreadsheet.
Morningstar offers a series of articles
on investment risk, including a description of how they incorporate risk in their mutual fund ratings.
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