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Xu Shao was a native of Pingyu (平輿), Runan (汝南), which is located northeast of present-day Ruyang County, Yuzhou, Henan.
Born in Ruyang (汝陽), Ru'nan (汝南) commandery (near modern Shangshui, Henan province) to a gentry family, Yuan An inherited knowledge in the Book of Changes from his grandfather Yuan Liang (袁良), who had reached the position of magistrate around 25.