Is making a usb with a safe executable dangerous?

Hi there,

I have a personal project which involves users putting an executable on an USB key and being able to run the said executable on any computer using said executable.

Let's assume that the executable they install on the USB stick is safe and they know it's safe. I don't limit what happens to the USB after installation tho: we may assume the user will keep it somewhere safe, but it's not guaranteed.

What are the dangers of making …

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