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The N=2* SYM is a massive QFT, one of the few, with precisely known holographic dual. This opens up an avenue for direct comparison of holography with field theory. Quite surprisingly, exact field-theory calculations predict that the theory undergoes an infinite number of quantum phase transitions, with calculable critical indices. The question of their supergravity interpretation still remains open, but it can be shown that the critical behavior starts at the third order in strong coupling, equivalently at the NNLO in the perturbative expansion of the string sigma-model.