The success of this stew depends on perfectly poached shrimp and fish. Be sure to cook only until just done to preserve their delicate texture and flavor.
For the aïoli
3 egg yolks, at room temperature
4 cloves garlic, grated
1 tsp. fresh lemon juice
2 tsp. white wine vinegar
Kosher salt and freshly ground black pepper
1 cup extra-virgin olive oil
For the stew
4 cups white wine, such as Pinot Grigio
1/8 tsp. saffron
9 oz. large (31/35 count) shrimp, preferably wild caught, peeled and deveined, shells reserved
5 Tbs. extra-virgin olive oil
2 bay leaves
Kosher salt and freshly ground black pepper
1-1/2 cups coarsely chopped red onion
2 medium fennel bulbs, cored, halved lengthwise; coarsely chop 1-1/2 of the bulbs and thinly slice the remaining 1/2 bulb into half-moons
1 cup coarsely chopped celery
1 cup coarsely chopped leek, white and light green parts only
4 shallots, halved lengthwise and sliced crosswise
6 cloves garlic, peeled
1 lb. fish bones, preferably from a non-oily fish
Peel of 1 large orange
3-1/2 Tbs. tomato paste
2 Tbs. anise-flavored liquor, such as Ricard or Pernod
6 cups fish stock or clam juice
1/8 tsp. cayenne
2 tsp. fresh lemon juice, plus lemon wedges for serving
1 lb. firm white fish fillet, such as halibut, porgy, or bass, cut into 2-inch pieces
Finely chopped fresh flat-leaf parsley
Make the aïoli
Put the egg yolks, garlic, lemon juice, vinegar, 1/2 tsp. salt, and 1/4 tsp. pepper in a medium bowl and beat with an electric hand mixer on medium speed until pale yellow and foamy, about 1 minute. Increase the speed to medium high and slowly drizzle in the oil, beating until emulsified. Scrape down the side of the bowl with a spatula, cover with plastic wrap, and refrigerate until ready to use.
Make the stew
Position a rack in the center of the oven and heat the oven to 400°F. Line a rimmed baking sheet with foil.
Put the wine and the saffron in a 2-quart saucepan over medium-high heat, bring to a simmer, and reduce by half (about 2 cups), 25 to 30 minutes. Set aside.
In a medium bowl, toss the shrimp shells with 2 Tbs. of the olive oil, 1 bay leaf, 1/2 tsp. salt, and1/4 tsp. pepper. Transfer to the prepared baking sheet and bake until the shells are dark pink and fragrant, 10 to 15 minutes.
In a 7-quart Dutch oven, heat the remaining oil on medium-high heat until shimmering. Add the red onion, chopped fennel, celery, leek, 1/2 tsp. salt, and 1/4 tsp. pepper and cook, stirring occasionally, until the mixture begins to soften and brown, 10 to 12 minutes. Add the shallots and garlic cloves and cook for another 2 minutes. Add the shrimp shells, including any accumulated juices, the fish bones, remaining bay leaf, orange peel, tomato paste, and anise-flavored liquor. Cook, stirring continuously, until fragrant, about 3 minutes. Add the white wine reduction and fish stock. Bring the mixture to a low boil, reduce the heat, and simmer uncovered, gently stirring occasionally, about 45 minutes.
Strain the mixture through a fine-mesh strainer into a different 5-quart Dutch oven, pressing the mixture with a spatula to extract more liquid. Discard the solids. Add the cayenne, lemon juice, thinly sliced fennel half-moons, and salt to taste. Return the mixture to a low boil. Add the shrimp and poach until they just turn pink and are cooked through, 1-1/2 to 2 minutes. Using a slotted spoon, transfer the shrimp and fennel to one side of a rimmed baking sheet, tent with foil to keep warm.
Remove the aïoli from the refrigerator and set aside. Poach the fish pieces in the liquid until opaque and are just tender, 2 to 3 minutes. Remove with a slotted spoon to the other side of the rimmed baking sheet, and tent with foil to keep warm. Ladle the liquid through a medium-mesh strainer into the container of a high-speed blender and blend on high-speed until very smooth. Discard the solids.
Whisk the aïoli to loosen it a bit. Remove 1 cup of the liquid from the blender. Add another 1/4 cup of the liquid to the aïoli and whisk vigorously to combine. Drizzle the remaining liquid into the aïoli while whisking vigorously, stopping occasionally to scrape down the bowl, then whisking again until the mixture is combined. Transfer the mixture to a food processor and process until slightly thickened, and frothy.
To serve, divide the fennel slices, shrimp, and fish among 6 shallow bowls. Pour the liquid from the blender over the fish. Garnish with parsley and serve with the extra aïoli.