This depends on what the size and class of the matrix returned by build_matrix( ) is. E.g., suppose it returns an MxN double matrix. Then the pre-allocation and the assignments would look like this:
A = zeros(size(P,2)*M,N); % pre-allocate result
for i = 1:size(P,2)
A(1+(i-1)*M:i*M,:) = build_matrix(P(:,i)); % modify the way you do the assignment
end