In recent decades, began a new field of study in the area of finances, which discusses the assumptions of Modern Finance. This new line of research, questioning the rationality of full investor, defined as Behavioral Finance, has as one of its main pillars of the theory Prospectus, as well as utilize the concepts from the Cognitive Psychology. This paper aims to explore this new field of study, through the application of a simulation of investment, with the presence of 10 academic ranking of the PUC-RJ (Administration). Where the aim was to verify the presence of cognitive illusions caused by mental structures of the type effect Arrangement (where investors have available to maintain for a long time in active portfolio losers and quickly sell assets that have positive returns), in addition to check if men are affected the same way for women. Using data obtained through the simulation, statistical tests were performed, where it was confirmed the presence of the Disposition Effect, in which investors and both sexes are affected by the Disposition Effect, but in different proportions. It also confirmed the negative correlation between the Disposition Effect and profitability, as well as showing that women under the Disposition Effect has a greater tendency to get a positive return on the investment portfolio in relation to man.