Grilled Asparagus with Hazelnut-Star Anise Mayonnaise

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For the mayonnaise:

2 large egg yolks

1/4 cup sherry vinegar

1 teaspoon orange juice

1 teaspoon fresh lemon juice

1 tablespoon grated orange zest

1 1/2 teaspoons honey

3/4 teaspoon kosher salt

Pinch of freshly ground black pepper

2 star anise, ground (about 1 teaspoon)

1 cup peanut or vegetable oil

1/2 cup toasted, skinned, and finely chopped hazelnuts

For the asparagus:

2 pounds asparagus, tough bottoms snapped off

Olive oil for brushing

Kosher salt and freshly ground black pepper

1 orange, sliced or cut into wedges for garnish