Sift the flour into a large bowl and shape it into a well. Add the yeast and powdered sugar to the center.
Pour in the warm milk and warm water. Let sit for 5 minutes to activate the yeast.
Add the oil, butter, eggs, and salt. Knead until you get a soft, smooth dough that doesn't stick to your hands.
Divide the dough into two equal portions.
Into one portion, knead in the cocoa and milk until smooth and evenly colored.
Cover both portions and let rise for 20–25 minutes.
Roll the plain dough into a 60×40 cm rectangle on a lightly floured surface.
Roll out the chocolate dough and spread it over the plain dough (lightly brush with water first so the layers stick).
Roll the dough up tightly into a log, then slice and twist or braid if desired.
Place into a 25×25 cm mold, cover, and let rise for 30 minutes.
Brush the top with the reserved egg yolk.
Bake at 160°C (320°F) until deep golden brown. Test with a skewer — it should come out clean.