It shouldn’t be too difficult. You can already do this, at least on PC, by making a backup of your Saved folder, then deleting the saved game, so you can start a new character. Then when you want to return back to your original character, just copy your second save folder somewhere else and replace it with your first character.
At least in theory this should work.
However, this would completely restart the game for the second character, so he wouldn’t have access to the resources, buildings etc. of your first character, and vice versa.
I believe there’s also a mod that lets you have multiple save files without the manual hassle (and potential oops moments when you accidentally delete the wrong folder). So technically speaking, there shouldn’t be any reason why this couldn’t be implemented into the official game.
EDITED to add: If you want multiple characters on the same server, currently the only way as far as I know it would be having multiple accounts.