The portfolio study developed in this work aims to show the differences between the effects of geographical diversification in relation to sectoral diversification, through their covariance, correlation and risk/return analysis. In addition, we try to understand why B3 stock market investors avoid to geographically diversify their investments and how they feel about it. With both results – if proven – we can demonstrate Home Bias occurrence and that this phenomenon induces an irrational behavior on investors, that apply their resources at Brazilian financial markets only.