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A cold wallet is a device that is not connected to the Internet. it cost money, as one need to buy a piece of actual hardware that’s set up to store the crypto. Cold wallets are hard to reach or hack.
Cold wallets can be in the form of paper wallets and hardware wallets, the weakness of hardware wallets is that if the private key is lost or the cold wallet is lost then all your crypto is lost.
Storing your cryptocurrency in cold wallet is the best in my own opinion because it is very secure. But it is always important you keep your private keys very safe.
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