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                                                                     Exhibit 11

                            MORGAN STANLEY GROUP INC.
                        COMPUTATION OF EARNINGS PER SHARE
                        (IN MILLIONS, EXCEPT SHARE DATA)

<TABLE>
<CAPTION>
                                                    FISCAL             FISCAL             FISCAL
                                                 PERIOD ENDED        YEAR ENDED         YEAR ENDED
                                                 NOVEMBER 30,       JANUARY 31,        JANUARY 31,
                                                     1995               1995               1994
                                              -----------------  -----------------  -----------------
<S>                                           <C>                <C>                <C>
PRIMARY (1):
Common stock and common stock equivalents:
  Average common shares outstanding               154,307,918        153,976,502        149,286,904
  Average common shares issuable
    under employee benefit plans                    2,604,760          3,816,714          3,129,672
                                                 ------------       ------------       ------------

      Total average common and common
        equivalent shares outstanding             156,912,678        157,793,216        152,416,576
                                                 ============       ============       ============

Earnings:
  Net income                                     $        600       $        395       $        786
  Less: Preferred stock dividend
    requirements                                           54                 65                 55
                                                 ------------       ------------       ------------

    Earnings applicable to common shares         $        546       $        330       $        731
                                                 ============       ============       ============

Primary earnings per share                       $       3.48       $       2.09       $       4.80
                                                 ============       ============       ============

FULLY DILUTED (1):

Common stock and common stock equivalents:
  Average common shares outstanding               154,307,918        153,976,502        149,286,904
  Average common shares issuable
    under employee benefit plans                    3,122,650          3,816,714          3,439,774
Common shares issuable upon conversion
  of preferred stock                                7,557,596          7,617,748          7,668,218
                                                 ------------       ------------       ------------
      Total average common and common
        equivalent shares outstanding             164,988,164        165,410,964        160,394,896
                                                 ============       ============       ============

Earnings:
  Net income                                     $        600       $        395       $        786
  Less: Preferred stock dividend
    requirements                                           51                 62                 51
                                                 ------------       ------------       ------------

    Earnings applicable to common shares         $        549       $        333       $        735
                                                 ============       ============       ============

Fully diluted earnings per share                 $       3.33       $       2.02       $       4.58
                                                 ============       ============       ============
</TABLE>


(1)  All share and per share amounts have been retroactively adjusted to give
     effect for a two-for-one common stock split effected in the form of a 100%
     stock dividend, which became effective on January 26, 1996.