Before revision:  If the boundedness constraint is removed , the CCO problem is shown to perform uniformly better than the DRO problem, irrespective of the radius of the ambiguity set, the choice of the divergence measure, or the tail heaviness of the center distribution.
After revision:  If the boundedness constraint , the CCO problem is shown to perform uniformly better than the DRO problem, irrespective of the radius of the ambiguity set, the choice of the divergence measure, or the tail heaviness of the center distribution.