Rinse, then soak rice in water for 30 minutes. Drain and set aside. Combine ¼ cup warm milk and saffron threads in a bowl and set aside.
Simmer 4 cups milk in a deep, nonstick pan for 8 minutes. Stir in rice and cook on medium heat, stirring occasionally, for 20 minutes.
Add sugar, bay leaves, cardamom and saffron-milk mixture. Mix well and cook on medium heat for 4 minutes, stirring continuously. Turn off heat, discard bay leaves, add nuts and mix well.
Refrigerate at least 1 hour; serve chilled.