Multivariate normal L1 regression

[BenjaminDoran]

Maybe i'm blind, but how can I fit a linear lasso model on multiple dependent variables?

There doesn't seem to be a method for

X = rand(100, 10)
Y = rand(100, 4)
path = glmnet(X, Y,  Normal())
# or 
path = glmnet(X, Y,  MvNormal())