Stir the yeast into the warm milk and leave it to sit and prove for about 5 minute or so. It should dissolve and get foamy.
Measure the flour, sugar and salt into the bowl of your stand mixer and give it a good whisk together.
Working on low speed, slowly add the yeast mixture. Mix on low for 2 to 3 minutes.
Add the egg yolks, one at a time, mixing only until just combined before you add the next one.
Add the softened butter, ½ TBS at a time. Continue mixing on low until the dough starts to come together and begins to pull away from the sides of the bowl.
Tip the dough out onto a lightly floured surface and knead gently 8 to 10 times into a soft dough ball.
Spray a large bowl with some baking spray. Add the dough ball, cover tightly with plastic cling film and then set aside in a warm place to rise. It should double in size.
Once the dough has doubled in size, remove it from the bowl and knock it down. Divide it into 8 equal pieces and shape each into a ball.
Spray a 9 by 5-inch loaf tin with some baking spray and place the dough balls into the tin. Cover with some plastic cling film and set aside in a warm place for a further one hour to rise.
Preheat the oven to 350C/gas mark 4. Brush the top of the loaf with the beaten egg.
Bake in the preheated oven for 30 to 35 minutes until golden brown.
Tip out of the pan onto a wire rack. The bottom should sound a bit hollow when you knock it with your knuckles. Leave to cool for at least 15 minutes before slicing to serve.
