<PAGE>   1
                                                                      Exhibit 11

Allied Capital Corporation and Subsidiaries
Computation of Earnings Per Common Share
For the Years Ended December 31, 1995, 1994 and 1993




<TABLE>
<CAPTION>
                                                                           For the Year Ended December 31,
                                                                  ------------------------------------------------
                                                                      1995               1994              1993
                                                                  ------------------------------------------------
<S>                                                               <C>                 <C>              <C>
Primary Earnings Per Common Share:

    Net Increase in Net Assets Resulting
      from Operations                                             $15,317,000          $224,000        $20,406,000

    Less: Dividends for Preferred Stock                              (220,000)         (220,000)          (220,000)
                                                                  ------------------------------------------------

    Net Increase in Net Assets Resulting
      from Operations Available to
      Common Shareholders                                         $15,097,000            $4,000        $20,186,000
                                                                  ================================================
                                                                                                                  
    Weighted average number of                                                                                    
      common shares outstanding                                     6,169,211         6,132,159          6,108,809
                                                                                                                  
    Weighted average number of                                                                                    
      shares issuable on exercise                                                                                 
      of outstanding stock options                                      2,322            22,027             19,054
                                                                  ------------------------------------------------
                                                                                                                  
    Weighted average number of common shares and                                                                         
      common share equivalents outstanding                         6,171,533          6,154,186          6,127,863
                                                                  ================================================
                                                                                                                  
                                                                                                                  
    Earnings per Common Share                                          $2.45              $0.00              $3.29
                                                                  ================================================
                                                                                                                  
                                                                                                                  
Fully Diluted Earnings Per Common Share:                                                                          
                                                                                                                  
    Net Increase in Net Assets Resulting                                                                          
      from Operations                                             $15,317,000           $224,000       $20,406,000

    Less: Dividends for Preferred Stock                              (220,000)          (220,000)         (220,000)
                                                                  ------------------------------------------------

    Net Increase in Net Assets Resulting
      from Operations Available to
      Common Shareholders                                         $15,097,000             $4,000       $20,186,000
                                                                  ================================================
                                                                                                                  
    Weighted average number of                                                                                    
      common shares and common share equivalents                                                                                
      outstanding as computed for                                                                                 
      primary earnings per share                                   6,171,533           6,154,186         6,127,863
                                                                                                                  
    Weighted average of additional                                                                                
      shares issuable on exercise                                                                                
      of outstanding stock options                                    39,134                  55            15,034
                                                                  ------------------------------------------------
                                                
    Weighted average number of common
      shares and common share                                                                                
      equivalents outstanding, as adjusted                         6,210,667           6,154,241         6,142,897
                                                                  ================================================
                                                                                                                  
                                                                                                                  
     Earnings per Common Share                                         $2.43               $0.00             $3.29
                                                                  ================================================
</TABLE>