The optimal statistical median of a convex set of arrays

We consider the following problem. A set of vectors is given. We want to find the convex combination such that the statistical median of z is maximum. In the application that we have in mind, are the historical return arrays of asset j and are the portfolio weights. Maximizing the median on a convex set of arrays is a continuous non-differentiable, non-concave optimization problem and it can be shown that the problem belongs to the APX-hard difficulty class. As a consequence, we are sure that no polynomial time algorithm can ever solve the model, unless P = NP. We propose an implicit enumeration algorithm, in which bounds on the objective function are calculated using continuous geometric properties of the median. Computational results are reported.