Insert a link into bold text in reStructuredText

At the moment it seems that this is not possible: see the Docutils FAQ, specifically the question "Is nested inline markup possible". The answer basically states that nested inline markup is on the to do list, so it will eventually be possible to do what you ask in the question, and provides a couple of work arounds (which they state are not recommended).

Since the workarounds are not recommended perhaps for the time being you could just do something like:

**Lorem ipsum dolor sit amet,** `consectetur <http://www.example.com>`_ 
**adipisicing elit, sed do eiusmod tempor incididunt ut labore et dolore 
magna aliqua.**

Of course your link would not be bold, but at least it will be a valid link.

One further workaround would be to mark the whole paragraph as bold, if applicable.

.. class:: bold

Lorem ipsum dolor sit amet, `consectetur <http://www.example.com>`_ 
adipisicing elit, sed do eiusmod tempor incididunt ut labore et dolore 
magna aliqua.

Not exactly the HTML you ask for, but it creates a link inside of a fully bold text:

.. _consectetur: http://www.example.com
.. |consectetur| replace:: **consectetur** 

**Lorem ipsum dolor sit amet,** |consectetur|_
**dolor elit, sed do eiusmod tempor incididunt ut labore et dolore magna aliqua.**

will produce:

<strong>Lorem ipsum dolor sit amet,</strong>
<a href="http://www.example.com"><strong>consectetur</strong></a>
<strong>dolor elit, sed do eiusmod tempor incididunt ut labore et dolore magna aliqua.</strong>