  We construct a Banach space $X$ for which the set of norm-attaining
functionals $NA(X,\mathbb{R})$ does not contain any non-trivial cone. Even
more, given two linearly independent norm-attaining functionals on $X$, no
other element of the segment between them attains its norm. Equivalently, the
intersection of $NA(X,\mathbb{R})$ with the unit sphere of a two-dimensional
subspace of $X^*$ contains, at most, four elements. In terms of proximinality,
we show that for every closed subspace $Z$ of $X$ of codimension two, at most
four element of the unit sphere of $X/Z$ has a representative of norm-one. We
further relate this example with an open problem on norm-attaining operators.
