Max-min fairness is widely used in various areas of networking. In every case where it is used, there is a proof of existence and one or several algorithms for computing the max-min fair allocation; in most, but not all cases, they are based on the notion of bottlenecks. In spite of this wide applicability, there are still examples, arising in the context of wireless or peer-to-peer networks, where the existing theories do not seem to apply directly. In this paper, we give a unifying treatment of max-min fairness, which encompasses all existing results in a simplifying framework, and extend its applicability to new examples. First, we observe that the existence of max-min fairness is actually a geometric property of the set of feasible allocations (uniqueness always holds). There exist sets on which max-min fairness does not exist, and we describe a large class of sets on which a max-min fair allocation does exist. This class contains, but is not limited to the compact, convex sets of RN. Second, we give a general purpose centralized algorithm, called Max-min Programming, for computing the max-min fair allocation in all cases where it exists (whether the set of feasible allocations is in our class or not). Its complexity is of the order of N linear programming steps in RN, in the case where the feasible set is defined by linear constraints. We show that, if the set of feasible allocations has the free-disposal property, then Max-min Programming reduces to a simpler algorithm, called Water Filling, whose complexity is much lower. Free disposal corresponds to the cases where a bottleneck argument can be made, and Water Filling is the general form of all previously known centralized algorithms for such cases. Our derivations are based on the relation between max-min fairness and leximin ordering. All our results apply mutatis mutandis to min-max fairness. Our results apply to weighted, unweighted and util-max-min and min-max fairness. Distributed algorithms for the computation of max-min fair allocations are outside the scope of this paper.