Abstract: Portfolio selection depends heavily on the underlying distribution of loss. When the distribution information of loss can only be observed through a limited sample of data, robustness of the portfolio selection model is of crucial importance. Assuming that the underlying distribution of loss has a known mean and variance and lies within a ball centred on the reference distribution with the Wasserstein distance as the radius, this paper proposes a robust portfolio strategy model based on the distortion risk measure and translates it into a simpler equivalent form. Furthermore, simulation and empirical study are used to demonstrate the validity of the model.