Heat the oil in a large frying pan.
Trim the tough ends of the asparagus and lay the tips flat in the pan. Season with salt and pepper. Cook over a low heat for 5 min, turning carefully occasionally.
Add the red capsicum and cook for a further 4-5 mins, depending on the thickness of the asparagus spears and the pepper strips.
Check with a sharp knife to see if they are cooked. Pile the asparagus and red capsicum in the centre of 4 individual plates.
Place a mound of rocket on the top of each pile and drizzle over some vinegar and a little more olive oil.
Season with salt and pepper and scatter over Parmesan cheese shavings.