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We study the classical problem of predicting an outcome variable, $Y$, using a linear combination of a $d$-dimensional covariate vector, $\mathbf{X}$. We are interested in linear predictors whose coefficients solve: % \begin{align*} \inf_{\boldsymbolβ \in \mathbb{R}^d} \left( \mathbb{E}_{\mathbb{P}_n} \left[ \left(Y-\mathbf{X}^{\top}β\right)^r \right] \right)^{1/r} +δ\, ρ\left(\boldsymbolβ\right), \end{align*} where $δ>0$ is a regularization parameter, $ρ:\mathbb{R}^d\to \mathbb{R}_+$ is a convex penalty function, $\mathbb{P}_n$ is the empirical distribution of the data, and $r\geq 1$. We present three sets of new results. First, we provide conditions under which linear predictors based on these estimators % solve a \emph{distributionally robust optimization} problem: they minimize the worst-case prediction error over distributions that are close to each other in a type of \emph{max-sliced Wasserstein metric}. Second, we provide a detailed finite-sample and asymptotic analysis of the statistical properties of the balls of distributions over which the worst-case prediction error is analyzed. Third, we use the distributionally robust optimality and our statistical analysis to present i) an oracle recommendation for the choice of regularization parameter, $δ$, that guarantees good out-of-sample prediction error; and ii) a test-statistic to rank the out-of-sample performance of two different linear estimators. None of our results rely on sparsity assumptions about the true data generating process; thus, they broaden the scope of use of the square-root lasso and related estimators in prediction problems.