 We first show that  for general \phi-divergences, a DRO problem is asymptotically equivalent to a class of mean-deviation problems , where the ambiguity radius controls investor's risk preference . Based on this non-robust reformulation, we then show that when a boundedness constraint is added to the investment strategy. The DRO problem can be cast as a chance-constrained optimization (CCO) problem without distributional uncertainties .
<clarity>  We first show that  for general \phi-divergences, a DRO problem is asymptotically equivalent to a class of mean-deviation problems , where the ambiguity radius controls investor's risk preference . Based on this non-robust reformulation, we then show that when a boundedness constraint is added to the investment strategy. The DRO problem can be cast as a chance-constrained optimization (CCO) problem without distributional uncertainties .
 We first show that for general \phi-divergences, a DRO problem is asymptotically equivalent to a class of mean-deviation problems , where the ambiguity radius in the original DRO problem now plays the role of controlling the risk preference of the decision-maker. We then demonstrate that a DRO problem can be cast as a chance-constrained optimization (CCO) problem without distributional uncertainties .