  In the landmark article \cite{Muller}, M\"uller et. al. introduced the notion
of fractional stochastic dominance (SD) to interpolate between first and second
SD relations. In this article, we introduce a novel family of
\textit{multi-fractional} stochastic orders that generalizes fractional SD in a
natural manner. The family of multi-fractional SD is parametrized by an
arbitrary non-decreasing function $\gamma$ ranging between $0$ and $1$ which
provides the feature of local interpolation rather than a global one. We show
that the multi-fractional $(1+\gamma)$-SD is generated by a class of increasing
utility functions allowing local non-concavity where the steepness of the
non-concavity depends on its location and it is controlled by function
$\gamma$. We also introduced the notion of \text{local greediness} that allows
us, among other things, to systematically study multi-fractional utility class.
The multi-fractional utility class is well-suited for representing a decision
maker's preferences in terms of risk aversion and greediness at a local level.
Several basic properties as well as illustrating examples are presented.
