Before revision:  In this paper, we propose a non-robust interpretation of the distributionally robust optimization (DRO) problem . 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:  In this paper, we propose a non-robust interpretation of the distributionally robust optimization (DRO) problem 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 .