I'm seeking a reference for the following fact.
The cone of positive semidefinite matrices is self-dual (a.k.a. self-polar).
This result is relatively easy to prove, has been known for a long time, and is fundamental to things like semidefinite programming. Ideally, I would like a reference that reflects all three of those properties. Unfortunately, the properties themselves make it hard to find a good reference to cite. (Many sources I've looked at consider this result elementary and well-known enough to simply state without proof or reference. That was sort of my plan as well, but a referee is now asking for a reference, and seeing as how our paper is outside of optimization theory, I think that's probably reasonable.)
By the way, this result is occasionally referred to as Fejer's Trace Theorem, although I have never encountered an actual reference to any publication of Fejer. So if anyone knows the source of this attribution, that would be interesting.
Any help would be greatly appreciated!