Bortezomib, Doxorubicin Hydrochloride Liposome, and Dexamethasone Followed by Thalidomide and Dexamethasone With or Without Bortezomib in Treating Patients With Multiple Myeloma

DISEASE CHARACTERISTICS: * Histologically and serologically confirmed multiple myeloma meeting one of the following criteria: * High-risk myeloma, defined as symptomatic International Staging System (ISS) stage 2 or 3 multiple myeloma * Soft-tissue involvement with myeloma in the form of a soft-tissue plasmacytoma * Extension of a plasmacytoma into soft tissues * Primary resistant myeloma, defined as unchanged or progressive myeloma despite two courses of standard treatment * No ISS stage 1 multiple myeloma without soft-tissue involvement * No smoldering myeloma PATIENT CHARACTERISTICS: * ECOG performance status 0-3 * Life expectancy \> 16 weeks * Absolute granulocyte count ≥ 1,500/mm³ (unless low granulocyte counts are due to multiple myeloma) * Platelet count ≥ 100,000/mm³ (unless low platelet counts are due to multiple myeloma) * Bilirubin ≤ 2.0 mg/dL * AST and ALT \< 3 times upper limit of normal (ULN) * Alkaline phosphatase \< 3 times ULN * LVEF ≥ 50% by MUGA or ECHO * Not pregnant or nursing * Negative pregnancy test * Fertile patients must use effective barrier contraception 4 months prior to, during, and for 4 weeks after completion of study treatment * No active thromboembolic disease on anticoagulation * No active angina or myocardial infarction within the past 6 months * No pre-existing neuropathy or sensory or neuropathic pain ≥ grade 2 * No concurrent active malignancy other than nonmelanoma skin cancer or carcinoma in situ of the cervix * Prior malignancies that have not required antitumor treatment within the past 24 months allowed * Patients with a history of stage I or II (T1a/b) prostate cancer (detected incidentally at transurethral resection of prostate \[TURP\] and comprising \< 5% of resected tissue) allowed if the prostate-specific antigen has remained normal since TURP * No known HIV positivity or AIDS-related illness * No other medical condition or reason that, in the opinion of the investigator, would preclude study compliance * No history of hypersensitivity reactions attributed to a conventional formulation of doxorubicin hydrochloride or to components of pegylated doxorubicin hydrochloride liposome, bortezomib, boron, or mannitol PRIOR CONCURRENT THERAPY: * Prior radiotherapy allowed * No more than 2 courses of prior initial chemotherapy for multiple myeloma * No prior bortezomib * No prior high-dose steroids (not including taper) for more than 1 month in duration for emergent indications, such as hypercalcemia or life-threatening lesions (e.g., spinal cord compromise) (in high-risk patients)