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Chen} and \\textit{L. Yang}, ``Nonlinearly weighted convex risk measure and its application'', J. Banking Finance 35, No. 7, 1777--1793 (2011; \\url{doi:10.1016/j.jbankfin.2010.12.004})] is adopted as the risk measure. This measure can reflect the reasonable risk in the stock markets. Then a portfolio optimization model based on this risk measure is set up. Furthermore, a genetic algorithm is proposed for this portfolio optimization model. 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