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Konchalovsky is Russian. He was born in Moscow, Russian SFSR, Soviet Union (now Russia), and is the son of Sergey Mikhalkov, a prominent Soviet poet and lyricist, and Natalia Konchalovskaya, an art historian. Konchalovsky studied film at the Gerasimov Institute of Cinematography (VGIK) in Moscow and began his career as a filmmaker in the 1960s.