Equilibrium payoffs of finite games

We study the structure of the set of equilibrium payoffs in finite games, both for Nash and correlated equilibria. In the two-player case, we obtain a full characterization: if U and P are subsets of R2, then there exists a bimatrix game whose sets of Nash and correlated equilibrium payoffs are, respectively, U and P, if and only if U is a finite union of rectangles, P is a polytope, and P contains U. The n-player case and the robustness of the result to perturbation of the payoff matrices are also studied. We show that arbitrarily close games may have arbitrarily different sets of equilibrium payoffs. All existence proofs are constructive.