On the geometry of Nash equilibria and correlated equilibria

It is well known that the set of correlated equilibrium distributions of an n-player noncooperative game is a convex polytope that includes all the Nash equilibrium distributions. We demonstrate an elementary yet surprising result: the Nash equilibria all lie on the boundary of the polytope.We are grateful to Francoise Forges, Dan Arce, the editors, and several anonymous referees for helpful comments. This research was supported by the National Science Foundation under grant 98–09225 and by the Fuqua School of Business.The use of correlated mixed strategies in 2-player games was discussed by Raiffa (1951), who noted: it is a useful concept since it serves to convexify certain regions of expected payoffs] in the Euclidean plane. (p. 8)Received: April 2002 / Revised: November 2003