Optical Coherence Tomography (OCT) provides a unique ability to image the eye retina in 3D at micrometer resolution and gives ophthalmologist the ability to visualize retinal diseases such as Age-Related Macular Degeneration (AMD). While visual inspection of OCT volumes remains the main method for AMD identification, doing so is time consuming as each cross-section within the volume must be inspected individually by the clinician. In much the same way, acquiring ground truth information for each cross-section is expensive and time consuming. This fact heavily limits the ability to acquire large amounts of ground truth, which subsequently impacts the performance of learning-based methods geared at automatic pathology identification. To avoid this burden, we propose a novel strategy for automatic analysis of OCT volumes where only volume labels are needed. That is, we train a classifier in a semi-supervised manner to conduct this task. Our approach uses a novel Convolutional Neural Network (CNN) architecture, that only needs volume-level labels to be trained to automatically asses whether an OCT volume is healthy or contains AMD. Our architecture involves first learning a cross-section pathology classifier using pseudo-labels that could be corrupted and then leverage these towards a more accurate volume-level classification. We then show that our approach provides excellent performances on a publicly available dataset and outperforms a number of existing automatic techniques.