Dual-core yarn structures, one of the hybrid yarn types preferred in denim fabric structures recently, make it possible to improve the stretch properties of fabrics and to profit from the features of two or more materials simultaneously. In this study, innovative dual-core yarn structures containing elastane and wool yarn cores and cotton fiber as sheath fibers were developed by changing production parameters (twist, cores draft ratio). It is thought that innovative, relatively more natural denim fabrics with increased thermal insulation can produce with dual-core yarns containing wool fiber. The yarn type that meets the expectations of denim manufacturers among the 27 yarn types was selected with Multi-Objective Optimization on the Basis of Ratio Analysis (MOORA) from multi-criteria decision-making methods, and production parameters were determined. According to the MULTIMOORA method and expert opinion, 16 coded dual-core yarn sample (670 T/m, 1.05 wool draft ratio, and 3.3 elastane draft ratio) was the best alternative, and eight coded dual-core yarn sample (585 T/m, 3.5 elastane draft ratio, and 1.05 wool draft ratio) was the worst alternative found for denim fabric production.