How about $$\min \gamma$$ $$(-r^s)\top X\leq \gamma + M Y_s \qquad s=1,\ldots,S $$ $$\sum_{s=1}^SP_sY_s \leq \alpha$$ $$\sum_{i=1}^nx_i=1$$ $$Y_s\in\{0,1\}$$

How about \begin{align}\min&\quad\gamma\\\text{s.t.}&\quad(-r^s)^\top X\leq \gamma + M Y_s \qquad s=1,\ldots,S\\&\quad\sum_{s=1}^SP_sY_s \leq \alpha\\&\quad \sum_{i=1}^nx_i=1\\&\quad Y_s\in\{0,1\}\end{align}