Preheat the oven to 350 degrees F.
Place the asparagus, prosciutto, Parmesan and pine nuts in a large baking dish or on a baking sheet. Drizzle with the olive oil and season with salt and pepper (light on the salt, as prosciutto and Parm are salty). Toss together all the ingredients to evenly incorporate.
Bake until the prosciutto and cheese are crisp, about 12 minutes.