A conventional Mendelian randomization analysis assesses the causal effect of a risk factor on an outcome by using genetic variants that are solely associated with the risk factor of interest as instrumental variables. However, in some cases, such as the case of triglyceride level as a risk factor for cardiovascular disease, it may be difficult to find a relevant genetic variant that is not also associated with related risk factors, such as other lipid fractions. Such a variant is known as pleiotropic. In this paper, we propose an extension of Mendelian randomization that uses multiple genetic variants associated with several measured risk factors to simultaneously estimate the causal effect of each of the risk factors on the outcome. This "multivariable Mendelian randomization" approach is similar to the simultaneous assessment of several treatments in a factorial randomized trial. In this paper, methods for estimating the causal effects are presented and compared using real and simulated data, and the assumptions necessary for a valid multivariable Mendelian randomization analysis are discussed. Subject to these assumptions, we demonstrate that triglyceride-related pathways have a causal effect on the risk of coronary heart disease independent of the effects of low-density lipoprotein cholesterol and high-density lipoprotein cholesterol.