Women of child bearing potential (WOCBP) must have a negative serum or urine pregnancy test within 5 days prior to randomization. The minimum sensitivity of the pregnancy test must be 25 IU/L or equivalent units of HCG. All females must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of beta-human chorionic gonadotropin [?-hCG]) at the Screening Visit and the Baseline Visit. A pregnancy test needs to be performed within 72 hours of the first dose of study drug. Females of childbearing potential must agree to use a highly effective method of contraception for the entire study period and for 120 days after study discontinuation, ie Women of childbearing potential (WOCBP) only: Negative urine or serum pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG])\r\n* If the urine test is positive or cannot be confirmed as negative, a serum pregnancy test will be required Women of childbearing potential must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours prior to the start of nivolumab Women of childbearing potential (WOCPB) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 72 hours of starting study therapy Women of child bearing potential who are pregnant as evidenced by positive serum pregnancy test (minimum sensitivity 25 IU/L or equivalent units of HCG) or nursing. WOCBP must have a negative serum or urine pregnancy test result (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 0 to 48 hours before the first dose of study drug Women of childbearing potential must have a negative serum or urine pregnancy test (minimum sensitivity 25 iu/l or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours prior to the start of nivolumab Women of childbearing potential must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropic [HCG]) within 24 hours prior to the start of the study drug PHASE II INCLUSION CRITERIA: Women of childbearing potential must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropic [HCG]) within 24 hours prior to the start of the study drug Patient must be non-pregnant and non-nursing; women of child bearing potential (WOCBP) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 72 hours prior to randomization Females who are breastfeeding or pregnant at Screening or Baseline (as documented by a positive beta-human chorionic gonadotropin [ß-hCG] (or human chorionic gonadotropin [hCG]) test with a minimum sensitivity of 25 International units per liter [IU/L] or equivalent units of ß-hCG [or hCG]). A separate baseline assessment is required if a negative screening pregnancy test was obtained more than 72 hours before the first dose of study drug. Women of reproductive potential should have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours of the start of study drugs Females who are breastfeeding or pregnant at Screening or Baseline (as documented by a positive beta-human chorionic gonadotropin [?-hCG] (or human chorionic gonadotropin [hCG]) test with a minimum sensitivity of 25 International Units per Liter [IU/L] or equivalent units of ?-hCG [or hCG]). A separate baseline assessment is required if a negative screening pregnancy test was obtained more than 72 hours before the first dose of study drug. Women of childbearing potential must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours prior to the start of nivolumab; elevated HCG for other explained and documented reasons is allowed Ability to become pregnant (or already pregnant or lactating); women and men who want to participate have to agree to use two highly effective forms of contraceptive prior to study entry, for the duration of study participation, and for 30 days following completion of therapy, to be eligible; women of childbearing potential (WOCBP) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours prior to the start of study drug Women of childbearing potential (WOCBP) must have a negative serum test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 72 hours prior to the start of investigational product Women of childbearing potential must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours prior to the start of nivolumab Women of childbearing potential must have a negative serum pregnancy test (minimum sensitivity of 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) performed within 24 hours prior to the start of nivolumab; post-menopausal women (defined as no menses for at least 1 year) and surgically sterilized women are not required to undergo a pregnancy test Pregnant or breast-feeding patients; women of childbearing potential must have a pregnancy test (minimum sensitivity of 25 IU/L or equivalent units of HCG) performed within 24 hours prior to the start of nivolumab, and a negative result must be documented before start of treatment Women of childbearing potential (WOCBP) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [hCG] hormone) within 24 hours prior to the start of study drug Women of childbearing potential (WOCBP) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [hCG]) within 1 days prior to the start of study drug Participants who are women of childbearing potential (WOCBP) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin) within 72 hours prior to the start of study drug Women of reproductive potential should have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 21 days of the study enrollment Women of reproductive potential should have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 21 days of study enrollment WOCBP must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours prior to the start of investigational product. Women of childbearing potential (WOCBP) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours prior to the start of the study drug. Women of childbearing potential (WOCBP) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) during screening and within 48 hours prior to the first dose of nivolumab WOCBP must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours prior to the start of investigational product. Women of childbearing potential (WOCBP) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours prior to the start of study drug Pregnancy or lactating females; women of childbearing potential must have a negative serum pregnancy test (minimum sensitivity 25 IU/L or equivalent units of HCG) within 24 hours prior to Step 2 registration Women of childbearing potential (WOCBP) must have a negative serum pregnancy test (sensitivity =< 25IU HCG/L) within 4 weeks prior to registration and will be repeated within 72 hours prior to the start of study drug administration WOCBP must have a negative serum test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 72 hours prior to the start of investigational product Women of childbearing potential must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours prior to the start of nivolumab Women of childbearing potential must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) Women of childbearing potential (WOCBP) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours prior to the start of study drug Pregnant or breastfeeding; for elotuzumab arm: women of child bearing potential must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 14 days of study treatment start (24 hours prior to the start of elotuzumab) Female patients of childbearing potential (not postmenopausal for at least 12 months and not surgically sterile) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 14 days before study entry; pregnancy test must be repeated if performed > 14 days before starting study drug Women must have a negative serum pregnancy test (minimum sensitivity 25 IU/L or equivalent units of HCG) within 24 hours prior to the start of investigational product Women of childbearing potential (WOCBP) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours prior to the start of study drug Women of childbearing potential must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours prior to the start of nivolumab; for WOCBP, follow up pregnancy tests will be performed every 4 weeks (+/-1 week) during the study regardless of dosing schedules WOCBP must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of HCG); the first should be performed within 10 to 14 days and the second within 24 hours prior to the start of the study drug; a prescription for lenalidomide for a female of childbearing potential must not be issued by the prescriber until negative pregnancy tests have been verified by the prescriber Women of childbearing potential (WOCBP) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours prior to receiving nivolumab; should a woman become pregnant or suspect she is pregnant while participating in this study, she should inform her treating physician immediately Women of childbearing potential must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours prior to the start of nivolumab WOCBP must have a negative serum test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 72 hours prior to the start of investigational product Females who are breastfeeding or pregnant at Screening or Baseline (as documented by a positive beta-human chorionic gonadotropin [ß-hCG] (or human chorionic gonadotropin [hCG]) test with a minimum sensitivity of 25 IU/L or equivalent units of ß-hCG [or hCG]). A separate baseline assessment is required if a negative screening pregnancy test was obtained more than 72 hours before the first dose of study drug. Cohort 3B (Combination Expansion): Osteosarcoma participants who progressed in Cohorts 1 or 2B and opt to receive combination therapy. Women of childbearing potential (WOCBP) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 3 days prior to the start of study drug Women of childbearing potential (WOCBP) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours prior to the start of study drug Women of childbearing potential must have a negative serum or urine pregnancy test (sensitivity < 25 IU human chorionic gonadotropin (HCG)/L) within 72 hours prior to the start of study drug Women Of Child Bearing Potential (WOCBP) must have a negative serum or urine pregnancy test (i.e., minimum sensitivity 25 IU/L or equivalent units of HCG), within 72 hours prior to the start of study treatment. Should a woman become pregnant or suspect she is pregnant while participating in the study, she should inform her treating physician(s) immediately. **Refer to pg. 10 of the protocol for the formal definition of a WOCBP.** Pregnancy, breastfeeding, contraception: Females who are breastfeeding or pregnant at Screening or Baseline (as documented by a positive beta-human chorionic [?-hCG] or human chorionic gonadotropin [hCG] test with a minimum sensitivity of 25 International Units per Liter [IU/L] or equivalent units of ?-hCG [or hCG]). A separate baseline assessment is required if a negative screening pregnancy test was obtained more than 72 hours before the first dose of study drug. Women who are breastfeeding or who are pregnant as evidenced by a positive serum pregnancy test (minimum sensitivity 25 IU/L or equivalent units of HCG) performed within 14 days of the first dose of study drug and by a urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of HCG) within 24 hours of the first dose of study drug(s). WOCBP must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 72 hours before the start of ipilimumab Women of childbearing potential (WOCBP) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours prior to the start of thoracic radiation therapy Women of reproductive potential should have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 21 days of study enrollment Women of childbearing potential (WOCBP) must have a negative pregnancy test (minimum sensitivity 25 IU/L or equivalent of human chorionic gonadotropin [HCG]) before entry onto the trial Participant is neither pregnant nor nursing:\r\n* Women of childbearing potential (WOCBP) must have a negative pregnancy test (minimum sensitivity 25 IU/L or equivalent of HCG) within 7 days prior to start of study medication; it is the investigators’ responsibility to repeat the pregnancy test should start of treatment be delayed Women of childbearing potential (WOCBP) must have a negative pregnancy test (minimum sensitivity 25 IU/L or equivalent of human chorionic gonadotropin [HCG]) before entry onto the trial and within 7 days prior to start of study medication; it is the investigators’ responsibility to repeat the pregnancy test should start of treatment be delayed Females who are breastfeeding or pregnant at Screening or Baseline (as documented by a positive beta-human chorionic gonadotropin [ß-hCG] or human chorionic gonadotropin [hCG] test with a minimum sensitivity of 25 international units/liter (IU/L) or equivalent units of ß-hCG [or hCG]). A separate Baseline assessment is required if a negative screening pregnancy test was obtained more than 72 hours before the first dose of study drug. Females must not be lactating or pregnant at screening or baseline (as documented by a negative beta-human chorionic gonadotropin [B-hCG] test with a minimum sensitivity of 25 IU/L or equivalent units of B-hCG). A separate baseline assessment is required if a negative screening pregnancy test was obtained more than 72 hours before the first dose of study drug. A woman of childbearing potential must have a negative highly sensitive serum [beta-human chorionic gonadotropin (?-hCG)] or urine pregnancy test at (minimum sensitivity 25 International units (IU)/ liter (L) or equivalent units of HCG) within 7 days prior to the first dose of study drug Women must have a negative serum pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 72 hours prior to the start of investigational product Females must not be lactating or pregnant at Screening or Baseline (as documented by a negative beta-human chorionic gonadotropin [B-hCG] test with a minimum sensitivity of 25 IU/L or equivalent units of B-hCG). A separate baseline assessment is required if a negative screening pregnancy test was obtained more than 72 hours before the first dose of study drug. Women who are breastfeeding or who are pregnant as evidenced by a positive serum pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin) performed within 14 days of the first dose of study drug and by a urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours of the first dose of study drug(s) Women of childbearing potential (WOCBP) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 7 days prior to the start of nivolumab. WOCBP must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours prior to the start of study treatments WOCBP must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours prior to the start of investigational product Women of childbearing potential (WOCBP) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 3 days before the start of ipilimumab Females must not be breast-feeding or pregnant at Screening or Baseline (as documented by a negative beta-human chorionic gonadotropin [B-hCG] test with a minimum sensitivity of 25 IU/L or equivalent units of B-hCG). A separate baseline assessment is required if a negative Screening pregnancy test was obtained more than 72 hours before the first dose of study drug. Positive pregnancy screening test with a minimum sensitivity of 25 IU/L of human chorionic gonadotropin (hCG) within 72 hours of registration; breastfeeding women are also excluded WOCBP must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotrophin [HCG]) within 72 hours before the start of ipilimumab All females must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of beta-human chorionic gonadotropin [?-hCG]) at the screening visit and the baseline visit; a pregnancy test needs to be performed within 72 hours of the first dose of study drug Women of childbearing potential (WOCBP) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) with 28 days prior to randomization Females must not be lactating or pregnant at Screening or Baseline (as documented by a negative beta-human chorionic gonadotropin [B-hCG] (or human chorionic gonadotropin [hCG]) test with a minimum sensitivity of 25 International units per litre (IU/L) or equivalent units of B-hCG [or hCG]). A separate baseline assessment is required if a negative screening pregnancy test was obtained more than 72 hours before the first dose of study drug. Women of childbearing potential must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [hCG]) within 24 hours prior to the start of nivolumab Women of childbearing potential (WOCBP) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of HCG) during screening for eligibility assessments and enrollment and within 24 hours prior to the start of study drug. Women of childbearing potential (WOCBP) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin hormone) within 24 hours prior to the start of study drug. Women should not be lactating and, if of childbearing age, should have a negative pregnancy test (beta-human chorionic gonadotropin [b-HCG] test; serum or urine, minimum sensitivity 25 IU/L or equivalent units of b-HCG) within two week of registration in the study Women of childbearing potential and men should practice effective methods of contraception. Women of childbearing potential should have a negative urine or serum pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin within 7 days prior to the start of PRI 724. WOCBP must have a negative serum or urine pregnancy test [minimum sensitivity 25 UI/L or equivalent units of human chorionic gonadotrophin (HCG)] within 24 hours prior to the start of investigational product WOCBP must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 72 hours before the start of ipilimumab Women should not be lactating and, if of childbearing age, should have a negative pregnancy test (beta-human chorionic gonadotropin [b-HCG] test; serum or urine, minimum sensitivity 25 IU/L or equivalent units of b-HCG) within two week of registration in the study Women must not be pregnant or breastfeeding; WOCBP must have a negative serum pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 7 days prior to registration WOCBP must have a negative serum or urine pregnancy test (sensitivity ? 25IU human chorionic gonadotropin [hCG]/L) within 72 hours prior to the start of study drug administration Females who are breastfeeding or pregnant at Screening or Baseline (as documented by a positive beta-human chorionic gonadotropin [?-hCG] or human chorionic gonadotropin [hCG] test with a minimum sensitivity of 25 International Units [IU]/L or equivalent units of ?-hCG or hCG). A separate baseline assessment is required if a negative screening pregnancy test was obtained more than 72 hours before the first dose of study drug. Women who are breast feeding or pregnant as evidenced by positive serum pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) done within 14 days of first dosing and urine test within 72 hours of first dosing Women of childbearing potential (WOCBP) must have a negative serum or urine pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 24 hours prior to surgery Negative serum pregnancy test (minimum sensitivity 25 IU/L or equivalent units of human chorionic gonadotropin [HCG]) within 72 hours (hrs) prior to registration in women of child-bearing potential (WOCBP) Females must not be lactating or pregnant at Screening or Baseline (as documented by a negative beta-human chorionic gonadotropin [ß-hCG] test with a minimum sensitivity of 25 IU/L or equivalent units of ß-hCG). Females must not be lactating or pregnant at Screening or Baseline (as documented by a negative beta-human chorionic gonadotropin [B-hCG] test with a minimum sensitivity of 25 IU/L or equivalent units of B-hCG. A separate baseline assessment is required if a negative screening pregnancy test was obtained more than 72 hours before the first dose of study drug.