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Rex Features
The actor, who is the executive producer of the drama, will appear in the show next month.
"I did one other cameo in the [Entourage] pilot but I didn't get to do a scene with Jeremy Piven," Wahlberg told the Associated Press.
"This time it's me and Piven going at it, so it was fun."
Wahlberg's latest big screen project Max Payne, a crime thriller based on a computer game, is released in October.
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