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In a large bowl, using a spatula or handheld mixer or a wooden spoon, mix butter and sugar until very creamy.
Add egg yolks and whole egg and mix well to incorporate.
Add cognac, vanilla, and lemon zest. Mix well.
Then add the sifted flour, baking powder, and cornstarch gradually, mixing very well until no streaks of dry remain.
The final dough will be very soft and silky but not sticky.
Let rest for 10 minutes. If I’m not baking the alfajores immediately I wrap the dough in film and put it in the refrigerator like any sweet dough.
Preheat oven to 170ºC / 325ºF.
On a floured suface, roll dough to ½ cm thick (about ¼ inch).
Using a round cutter, cut circles and place them on a buttered cookie tray or use a Silpat. In my experience they tend to stick when using parchment paper, but then, all papers are different depending on where you live. Thickness and size is totally up to you; I suggest you try different combinations and see which one works best for your taste.
Bake for 10-12 minutes or until barely starting to color. Let cool completely on a wire rack.
Put a tablespoon of dulce de leche (with a spoon or with a piping bag) and fill one round, flat side up. Press lightly with another round, flat side down forming alfajores.
With the back of a spoon flatten the sides wiping any dulce de leche that has overflowed. This will leave a path for the coconut to stick.
Put unsweetened coconut in a small plate and roll sides of alfajores so that you have an even coating. Or leave it plain.