Bring a large pot of water to a simmer over medium heat. In a large bowl, prepare an ice bath.

In a large heatproof bowl, whisk together the yolks and sugar.

Using the simmering pot as a double boiler, set the bowl on top of the pot, being sure the water doesn't touch the bottom of the bowl, and whisk until the sugar dissolves.

Add the 1/3 cup of Marsala and continue to whisk until the mixture is thick, has doubled in volume, and reads 150∞F on a candy thermometer, about 10 minutes. If you don't have a thermometer, watch for the ribbon stage (when thick, pale-yellow ribbons form and hold their shape).

Remove the bowl from the heat and whisk in the mascarpone until fully incorporated. Set the bowl in the prepared ice bath, touching the water, and continue to whisk until the custard begins to cool down, 3-4 minutes.

Place plastic wrap directly on the surface of the custard to prevent a skin from forming. Let sit in the ice bath until fully cooled, about 20 minutes.

In a small bowl, stir together the remaining 2 tablespoons of Marsala and the coffee and rum.

In a medium bowl, whip the heavy cream to soft peaks. Fold the whipped cream into the cream cheese mixture to lighten.

Add half of the matzoh pieces to the coffee and rum mixture, and soak for 30 to 40 seconds, until they begin to soften. Arrange them in the bottom of an 8-inch square baking dish, then evenly spread with half the chilled custard.

Soak the remaining matzoh pieces for 30 to 40 seconds, lay them over the first layer of custard, then top with the remaining custard.

Evenly sift the cocoa powder over the top. Wrap the tiramisu with plastic wrap and refrigerate for at least two hours before serving.