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Preheat oven to 400 degrees. Put radicchio wedges on a rimmed baking sheet. Drizzle with oil, and season with salt and pepper. Toss gently to coat, and turn each wedge so a cut side faces sheet. Roast, turning once, until leaves are wilted and slightly charred, 12 to 15 minutes. Transfer to a platter.
Just before serving, drizzle vinegar over each wedge, and garnish with cheese shavings.
2 medium heads radicchio, quartered lengthwise
¼ cup extra-virgin olive oil
Coarse salt and freshly ground pepper
¼ cup balsamic vinegar
1 ounce Parmesan cheese, preferably Parmigiano-Reggiano, shaved