Although Carmelo Anthony has appeared frustrated enough to look for a way out of New York at times this season, he gave another strong indication that he’s not planning an exit strategy.

During an interview with ESPN on Wednesday, Anthony reiterated his commitment to helping the Knicks turn things around.

“I came here for a reason, which was to win in New York,” he said. “Unfortunately, that hasn’t been the case thus far, but I feel like I have unfinished business to take care of.”

Hours later, Anthony raised some eyebrows by saying if he had the chance to play with LeBron James, Chris Paul and Dwyane Wade, he would “want to go somewhere warm.” So that would eliminate New York and Cleveland, and means Miami or Los Angeles if that type of Dream Team ever were formed.

James was the one who broached the subject in an interview with Bleacher Report, saying “I really hope that, before our career is over, we can all play together.” James, Anthony, Paul and Wade are close friends and vacationed together last summer.

Anthony was smiling and laughing, but he didn’t rule out playing with his three pals. It appears to be a few years down the road if it were to happen, though.

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At least for now, Anthony seems focused on sticking with the Knicks.

“I feel like — I don’t know, maybe it’s just me — if I just get up and run away from something that I started, that I feel a part of and that’s not done yet,” he told ESPN, “then I think I would carry that burden on my shoulders.”

Anthony also said he doesn’t know how anyone can question his loyalty to the Knicks or New York.