Calibrated strategies can be obtained by performing strategies that have no
internal regret in some auxiliary game. Such strategies can be constructed
explicitly with the use of Blackwell's approachability theorem, in an other
auxiliary game. We establish the converse: a strategy that approaches a convex
B-set can be derived from the construction of a calibrated strategy. We
develop these tools in the framework of a game with partial monitoring, where
players do not observe the actions of their opponents but receive random
signals, to define a notion of internal regret and construct strategies that
have no such regret