Before revision:  By relating the impact of an ambiguity set to the impact of a non-robust chance constraint, our interpretation allows investors to understand the size of the ambiguity set through parameters that are directly linked to investment performance .
After revision:  By relating the impact of uncertainties around the distribution on the impact of constraining the objective through tail probabilities. Our interpretation allows utility maximizers to figure out the size of the ambiguity set through parameters that are directly linked to investment performance .