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An everyday example of this happens when an egg is boiled - the white goes from a transparent goo to an opaque white solid. by heating them up) and then let them cool they usually fail to reform into the 'correct' structure - instead they stick to each other.
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Most proteins have one highly stable tertiary structure, which is often organized around a core region of hydrophobic residues. The non-teleological reason why proteins take on one (or only a few) forms, is based on the energetics of how they fold. This is a very insightful question - if you were to chemically synthesize a protein and throw it into solution it would most likely not fold properly.
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