A Banach space whose set of norm-attaining functionals is algebraically trivial

We construct a Banach space X for which the set of norm-attaining functionals NA(X,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,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.