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Since upgrading to macOS Sierra, the option “Allow applications downloaded from Anywhere” is unavailable. For most users, this shouldn’t be a problem, but if you, like me, run the odd third-party application, this option being missing is kind of problematic.
Luckily, there’s a fairly easy way to get around this problem; if you right-click the application, and click Open, you get this prompt:
That should do the trick.