I've recently seen this photo and really liked it:
My question is: how to create such lighting effect? Is it created on post or it is real? Is it possible to create such lighting in a small studio?
Complementary to the other answer (by @b-shaw), which focusses on creating this effect in post processing, I'll try to explain how you can achieve this effect "in real life".
Your camera captures light (fotons). So you need a light source (in your example at the right side, above the field of view of the camera) and something the light can reflect upon. This can be for example fog, dust particles or smoke. A cheap way to create this is to use the brush of e chalk board and tap it on a hard surface. The chalk particles reflect the light.
The light source can be out-of-sight, such as in this example:
or the light source can be visible, creating another dramatic effect:
The light source will create a light spot towards the area where the light is pointing at. This can give you a clue to see if the effect is "real" or created in post production. In you example the light could be pointed towards the back of the man, and the spot would be on the groud, but out of sight of the camera view. On the other hand, the effect looks almost too perfect to be real to me. My guess is that - in this case - the effect is created (or at least enhanced) in post production.
There are a few ways to do this.
My favorite way is to use a tool called Rays from Digital Film Tools. I use it sparingly, essentially to reinforce light rays already in the image - http://www.digitalfilmtools.com/rays/
Alternatively, you could create a Rays-like layer by hand in Photoshop and add that over the original image - perhaps at a 50% opacity
Separately, you could use some of the Photoshop's lighting effects to create similar effects.
Regardless, I believe "less-is-more" when using this type of effect.