Within the Minimal Supersymmetric Standard Model (MSSM) we systematically investigate the bounds on the mass of the lightest neutralino. We allow for non-universal gaugino masses and thus even consider massless neutralinos, while assuming in general that R-parity is conserved. Our main focus are laboratory constraints. We consider collider data, precision observables, and also rare meson decays to very light neutralinos. We then discuss the astrophysical and cosmological implications. We find that a massless neutralino is allowed by all existing experimental data and astrophysical and cosmological observations.
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