There are a number of good ideas above, and one of them is your own.
Martial arts can help a lot with confidence; although not exactly for the reason you mentioned. When you have confidence most people will feel it, and treat you in a different way. You will know you don't need to prove anything.
If you choose to study martial arts it is important to choose your teacher carefully. The teacher is more important than the style you might think is ideal for you. Martial arts, when taught and practiced well, are far more than the physical; although the physical is important. The health benefits are also excellent.
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