In all breeding programs, the decision about which individuals to select and intermate to form the next selection cycle is crucial. The improvement of genetic stocks requires considering multiple traits simultaneously, given that economic value and net genetic merits depend on many traits; therefore, with the advance of computational and statistical tools and genomic selection (GS), researchers are focusing on multi-trait selection. Selection of the best individuals is difficult, especially in traits that are antagonistically correlated, where improvement in one trait might imply a reduction in other(s). There are approaches that facilitate multi-trait selection, and recently a Bayesian decision theory (BDT) has been proposed. Parental selection using BDT has the potential to be effective in multi-trait selection given that it summarizes all relevant quantitative genetic concepts such as heritability, response to selection and the structure of dependence between traits (correlation). In this study, we applied BDT to provide a treatment for the complexity of multi-trait parental selection using three multivariate loss functions (LF), Kullback-Leibler (KL), Energy Score, and Multivariate Asymmetric Loss (MALF), to select the best performing parents for the next breeding cycle in two extensive real wheat data sets. Results show that the high ranking lines in genomic estimated breeding value (GEBV) for certain traits did not always have low values for PEL. For both data sets, the KL loss function gave similar importance to all traits including grain yield. In contrast, the Energy Score and MALF gave better performance in 3 of 4 traits that were different than grain yield. The BDT approach should help breeders to decide based not only on the GEBV per se of the parent to be selected, but also on the level of uncertainty according to the Bayesian paradigm.