Preheat the oven to 400 degrees F. Line a baking sheet with parchment paper and set aside.
To the bowl of a food processor, add the mushrooms, garlic, shallots and thyme. Pulse until finely chopped.
To make the duxelles, in a large skillet over medium heat, melt the butter. Add the mushroom mixture and sherry and cook, stirring occasionally, until the liquid released from the mushrooms has mostly evaporated, 7 to 8 minutes. Season with salt and pepper, then transfer to a sheet pan or large bowl. Refrigerate until cool.
On a lightly floured surface, roll the pastry sheet into a 10- by-12-inch rectangle. Cut into twenty 2 1/2-inch squares. Place the squares on the prepared baking sheet about an inch apart. Prick each square all over with a fork (leaving about a half inch from each edge untouched).
In a small bowl, beat the egg and 1 tablespoon water together. Use a pastry brush to brush the top of each square of pastry with the egg wash. To each square, add one piece of prosciutto, then gently press 1 heaping teaspoon of the duxelles into the center. Bake until the puff pastry is golden brown, about 15 minutes.
Heat the oil in a medium skillet over high heat. Sprinkle the beef cubes with a large pinch of salt and a few grinds of black pepper and toss with the mustard. Add to the skillet and cook until browned all over, 4 to 5 minutes.
Transfer the pastries to a platter, then add one piece of beef to the center of each pastry, gently pressing down to nestle the beef into the pastry. Drizzle with the Horseradish Sauce, then garnish with the chives.
Creamy Horseradish Sauce:
In a medium bowl, mix together the mayo, sour cream, horseradish, honey and mustard. Taste and season with salt and pepper.
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