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Let $f$ be a entire function such that $$\lim_{z\to \infty} \frac{f(z)}{z}=0$$

What can we conclude about $f$.

Using the change of variable $w=1/z$ we can conclude $\lim_{w\to 0} f(1/w)w=0$ so at $w=0$ we have removable singularity so we conclude that $f$ has removable singularity at $z=\infty$

Now what should be my next step?

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You can deduce from Cauchy's inequalities that $f$ is constant. Indeed, if the Taylor series of $f$ centered at $0$ is $\sum_{n=0}^\infty a_nz^n$, the$$(\forall n\in\mathbb N)(\forall r>0):\lvert a_n\rvert\leqslant\sup_{\lvert z\rvert=n}\frac{\bigl\lvert f(z)\bigr\rvert}{r^n}\to_{r\to\infty}0.$$