Inclusion Criteria: - Have symptomatic and/or progressive MM that was previously treated with at least 1 and no more than 3 prior lines of therapy - Have measurable disease - Have given written informed consent prior to any study-specific procedures - Have adequate organ function - Treatment with prior autologous transplant is permitted Exclusion Criteria: - Are enrolled in or discontinued from a clinical trial of any drug or device within 21 days prior to the first dose of assigned study treatment - Have had less than a minimal response or have had progressive disease within 60 days of most recent therapy with a proteasome inhibitor - Plan to proceed to autologous transplant for consolidation after participation in this trial - Have an active infection or ongoing treatment for systemic infection ("ongoing treatment" does not include prophylactic anti-infectives),, chest x-ray suggestive of tuberculosis, or history/risk of chronic/latent infection that may reactivate in the presence of study therapy - Have any of the following: - positive test results for human immunodeficiency virus (HIV) - positive test results for hepatitis B, defined as positive for hepatitis B surface antigen (HBsAg+) OR positive for hepatitis B deoxyribonucleic acid (HBV DNA) - positive test results for hepatitis C virus (HCV), defined as positive for hepatitis C antibody (HepCAb) AND confirmed positive via the hepatitis C recombinant immunoblot assay - Have had significant allergy to human/humanized monoclonal antibodies that, in the opinion of the investigator, poses an unacceptable risk to the participants - Have known hypersensitivity or contraindication to any of the study therapies or excipients - Prior allogeneic hematopoietic stem cell transplant - Prior therapy with experimental agents targeting B-cell activating factor (BAFF), including LY2127399 - Have corrected QT (QTc) interval >500 millisecond (msec) on baseline 12-lead electrocardiogram (ECG) - Have Waldenstrom's macroglobulinemia - History of malignancy except for adequately treated basal cell or squamous cell skin cancer, in situ cervical cancer, in situ breast cancer, in situ prostate cancer, or other cancer for which the participant has been disease-free for at least 3 years