The astounding thing about Ponzi schemes is not that there is an endless supply of suckers, including sophisticated investors, who believe in it. The astounding thing about Ponzi schemes is that their originators seldom disappear with the money, never to be seen again. Charles Ponzi is the classic example. If he had taken the money, which was in the tens of millions in an era in which the dollar was worth 20 times as much as it is today, and if he returned to Italy, from which he had arrived, he would have made out like the bandit that he was. But he stayed in the game until the bitter end. So did Bernard Madoff. The originators know that the thing cannot possibly end well, and yet they are unwilling to take the money and run. They believe their own impossible promises. This, I do not understand.
via Social Security, Ponzi Schemes, and Leprechaun Economics.