We provide yet another proof of the existence of calibrated forecasters; it
has two merits. First, it is valid for an arbitrary finite number of outcomes.
Second, it is short and simple and it follows from a direct application of
Blackwell's approachability theorem to carefully chosen vector-valued payoff
function and convex target set. Our proof captures the essence of existing
proofs based on approachability (e.g., the proof by Foster, 1999 in case of
binary outcomes) and highlights the intrinsic connection between
approachability and calibration
