Genomic selection is an effective tool for animal and plant breeding, allowing effective individual selection without phenotypic records through the prediction of genomic breeding value (GBV). To date, genomic selection has focused on a single trait. However, actual breeding often targets multiple correlated traits, and, therefore, joint analysis taking into consideration the correlation between traits, which might result in more accurate GBV prediction than analyzing each trait separately, is suitable for multi-trait genomic selection. This would require an extension of the prediction model for single-trait GBV to multi-trait case. As the computational burden of multi-trait analysis is even higher than that of single-trait analysis, an effective computational method for constructing a multi-trait prediction model is also needed.