Abstract: Inspired by various approaches to ambiguity set construction in the Data-driven Wasserstein DRO model, we extend the classic method by constructing the ambiguity set using the Wasserstein metric based on the utility-shortfall risk measure. We investigate the tractability of the resulting Wasserstein DRO problem. We transform the worst-case expectation problem to a finite dimension optimization problem for concave or convex piecewise linear loss functions. Additionally, we simulate the theoretical results in the A-share market. The strategy provided by the Wasserstein DRO model based on the shortfall risk measure outperforms both the 1/N investment strategy and the mean-variance investment strategy in this case, offering a promising approach to portfolio selection.