Anti Aliasing Filter and the bandwidth selection
According to Nyquist theorem, the bandwidth must be less than a half
  of the sampling frequency


No, that is the wrong way to look at it. 

This is the correct way to look at it: -

The sampling frequency must be at least twice the highest spectral content of the signal you are wishing to digitize or you will get aliasing

Anti-alias filters are in the analogue realm before digitization/ADC