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As machine learning models are deployed ever more broadly, it becomes increasingly important that they are not only able to perform well on their training distribution, but also yield accurate predictions when confronted with distribution shift. The Distributionally Robust Optimization (DRO) framework proposes to address this issue by training models to minimize their expected risk under a collection of distributions, to imitate test-time shifts. This is most commonly achieved by instance-level re-weighting of the training objective to emulate the likelihood ratio with possible test distributions, which allows for estimating their empirical risk via importance sampling (assuming that they are subpopulations of the training distribution). However, re-weighting schemes in the literature are usually limited due to the difficulty of keeping the optimization problem tractable and the complexity of enforcing normalization constraints. In this paper, we show that three simple ideas -- mini-batch level normalization, a KL penalty and simultaneous gradient updates -- allow us to train models with DRO using a broader class of parametric likelihood ratios. In a series of experiments on both image and text classification benchmarks, we find that models trained with the resulting parametric adversaries are consistently more robust to subpopulation shifts when compared to other DRO approaches, and that the method performs reliably well with little hyper-parameter tuning. Code to reproduce our experiments can be found at https://github.com/pmichel31415/P-DRO.