Abstract: Linear matrix inequality (LMI) is used to study the robust optimization for commercial banks' loan portfolio. Based on Markowitz theory of mean-variance, a robust optimization model is developed for loan portfolio, and the uncertainty of prospectful return on loans is described by several expected return vectors and covariance matrices, to give a LMI solution to the model. A numerical simulation proves the validity of the model. Because in the model the uncertainty of prospectful return on loans has been involved, the result is highly reliable and robust to reduce the credit risk. So, the model may provide a reference for commercial banks to make decision on loans.