A computing device trains a fair prediction model. A prediction model is trained and executed with observation vectors. A weight value is computed for each observation vector based on whether the predicted target variable value of a respective observation vector of the plurality of observation vectors has a predefined target event value. An observation vector is relabeled based on the computed weight value. The prediction model is retrained with each observation vector weighted by a respective computed weight value and with the target variable value of any observation vector that was relabeled. The retrained prediction model is executed. A conditional moments matrix is computed. A constraint violation matrix is computed. Computing the weight value through computing the constraint violation matrix is repeated until a stop criterion indicates retraining of the prediction model is complete. The retrained prediction model is output.