Stockbroker
Thanks for sharing this with us, but do your self a big favor. Read the threads in this forum
http://utopiaguide.com/forums/forums/newbie-forum.69/
The poster who i quoted above and many others have great advice on how to limit your risk and loss in situations like that.
A couple things that i can point out are pretty much standard and that i've learned from here:
Carry only as much money as you would need for the session or appointment, if you do get robbed your loss is limited to that and makes it easier to leave.
Leave the CC and wallet in the car, have only your ID on you.
Leave the keys in the car if possible i.e if you have key-less entry or carry only one key that can open the door. If you don't have key-less entry use a magnetic hide away key and bring a single key with you. Leave the key fob, or alarm remote in the car ( I'm pretty sure genius said this) The last thing you want is a thief walking around the parking lot with your key fob and finding your car.
Use a throw away phone!
Now in your case i'd also keep a gym bag with extra set of cloths and footwear.
The way i look at it is this, nothing is worth your life. If you keep your loss to a minimum its a lot easier to walk away and live another day.