Tear off a 1-foot square piece of aluminum foil (the more traditional parchment paper is acceptable) place a fillet of fish on it, then tap with a quarter of each of the citrus fruits, sprinkle with one tablespoon of olive oil, and salt and pepper.
Seal the package and repeat the process with the remaining fillets.
Place all the packages in a large baking dish and bake until fish is opaque and flaky about 20 minutes.
Serve the closed packages, allowing each diner to open his or her own at the table.