A method and system for classifying small collections of high value entities with missing data. The invention includes: collecting measurement variables for a set of entity cases for which classifications are known; calibrating standard weights for each measurement variable based on historical data; computing compensating weights for each entity case that has missing data, computing case scores for each of one or more dimensions as a sum-product of compensating weights and variables associated with each dimension; executing an iterative process that finds a specific combination of compensation weights that best classify the entity cases in terms of distinct scores; and applying a resulting model, which is determined by the specific combination of compensation weights, to classify other entity cases for which the classifications are unknown.