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"Bernie Madoff didn't think he was doing anything wrong either."Do you have a source for that? I would have expected that he knew that what he was doing was wrong, but did not care because he was greedy. Disagreeing with a law and disregarding the law are two separate concepts. People often do one without doing the other.
His apology that he delivered before sentencing suggests that he knew it was wrong. Of course it would be incredibly foolish to take such an apology at face value, but it would be interesting if there are any statements made by him at other times that contradict this.