Most of the published literature on robust design is basically concerned with a single response. However, the reality is that common industrial problems usually involve several quality characteristics, which are often correlated. Traditional approaches to multidimensional quality do not offer much information on how much better or worse a process is when finding optimal settings. Koksoy and Fan [Engineering Optimization 44 (8): 935-945] pointed out that the upside-down normal loss function provides a more reasonable risk assessment to the losses of being off-target in product engineering research. However, they only consider the single-response case. This article generalizes their idea to more than one response under possible correlations and co-movement effects of responses on the process loss. The response surface methodology has been adapted, estimating the expected multivariate upside-down normal loss function of a multidimensional system to find the optimal control factor settings of a given problem. The procedure and its merits are illustrated through an example.