Yan was born in China and raised in Northern Virginia, near Washington, D.C. While her family was living in China, Yan's father was given a visa to study sociology in the U.S. Two years later her mother left for America, and Yan remained in China with her grandparents. At age four she was reunited with her parents in America.
As a child, Yan grew up with various creative outlets courtesy of her relatives and "deeply creative father". By age 8, Yan was the kid carrying around a video camera, eager to express herself through art and through dancing as a choreographer. She moved to Hong Kong when she was fourteen years old, where she attended high school.
She graduated with an A.B. from the Princeton School of Public and International Affairs at Princeton University in 2008 after completing an 133-page-long senior thesis, titled "Can the Mouse Byte the Paper Tiger? Internet-mediated Social Movements and Political Change in China", under the supervision of Lynn T. White. She later graduated in 2016 from New York University's MBA/MFA dual degree program, where she studied at both the Stern School of Business and the Tisch School of the Arts.

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