High-throughput technology allows for genome-wide measurements at different molecular levels for the same patient, e.g. single nucleotide polymorphisms (SNPs) and gene expression. Correspondingly, it might be beneficial to also integrate complementary information from different molecular levels when building multivariable risk prediction models for a clinical endpoint, such as treatment response or survival. Unfortunately, such a high-dimensional modeling task will often be complicated by a limited overlap of molecular measurements at different levels between patients, i.e. measurements from all molecular levels are available only for a smaller proportion of patients.