This research focuses on making good decisions based on limited data. The decision-making process involves the conventional wisdom; to prepare for the worst, and hope for the best. That is to say the decision-makers first choose the optimal decision if the world is working against them. Then limited data is used to update the decision to be less conservative. That way, the decision-makers might be able to strike the right balance between risk and reward. The methodology has potential usage in making decisions in a rapidly changing world. For example, it might help construct a portfolio of thousands of stocks with only hundreds of observations.