I am looking for a proof or, better, a reference to a proof of the following known fact.
Let $(M,g)$ be a smooth Riemannian manifold with boundary. Assume the sectional curvature of $M$ is at least $\kappa$. Then if $M$ is an Alexandrov space with curvature bounded below then it is locally geodesically convex, namely any shortest path between any two sufficiently close points is a geodesic in $M$.