AbstractRegret and its anticipation affect a wide range of decisions. Job-seekers reject offers while waiting for an offer to match their best past offer; investors hold on to badly performing stocks; and managers throw good money after bad projects. We analyze behavior of a decision maker with regret preferences in a dynamic context and show that regret agents have a disposition to gamble until they receive a payoff matching the best past offer. Results from a lab experiment confirm that many subjects exhibit such behavior and are reluctant to stop below the past peak.