Transaction inside of functions

Is it not possible to define  transactions inside of a function?
I guess you can do

BEGIN WORK;
select my_function()
COMMIT;

instead of defining the function
CREATE FUNCTION my_function()...
BEGIN
    BEGIN WORK;
    ....
    COMMIT;
END;

but what if you would like to do

CREATE FUNCTION my_function()...
BEGIN
    .... do stuff.....
    BEGIN WORK;
    ....
    COMMIT;
    do more stuff ....
END;