How can I use covariant return types with smart pointers?

Firstly, this is indeed how it works in C++: the return type of a virtual function in a derived class must be the same as in the base class. There is the special exception that a function that returns a reference/pointer to some class X can be overridden by a function that returns a reference/pointer to a class that derives from X, but as you note this doesn't allow for smart pointers (such as shared_ptr), just for plain pointers.

If your interface RetInterface is sufficiently comprehensive, then you won't need to know the actual returned type in the calling code. In general it doesn't make sense anyway: the reason get_r is a virtual function in the first place is because you will be calling it through a pointer or reference to the base class AInterface, in which case you can't know what type the derived class would return. If you are calling this with an actual A1 reference, you can just create a separate get_r1 function in A1 that does what you need.

class A1: public AInterface
{
  public:
     boost::shared_ptr<RetInterface> get_r() const
     {
         return get_r1();
     }
     boost::shared_ptr<Ret1> get_r1() const {...}
     ...
};

Alternatively, you can use the visitor pattern or something like my Dynamic Double Dispatch technique to pass a callback in to the returned object which can then invoke the callback with the correct type.

There is a neat solution posted in this blog post (from Raoul Borges)

An excerpt of the bit prior to adding support for mulitple inheritance and abstract methods is:

template <typename Derived, typename Base>
class clone_inherit<Derived, Base> : public Base
{
public:
   std::unique_ptr<Derived> clone() const
   {
      return std::unique_ptr<Derived>(static_cast<Derived *>(this->clone_impl()));
   }
 
private:
   virtual clone_inherit * clone_impl() const override
   {
      return new Derived(*this);
   }
};

class concrete: public clone_inherit<concrete, cloneable>
{
};

int main()
{
   std::unique_ptr<concrete> c = std::make_unique<concrete>();
   std::unique_ptr<concrete> cc = c->clone();
 
   cloneable * p = c.get();
   std::unique_ptr<clonable> pp = p->clone();
}

I would encourage reading the full article. Its simply written and well explained.