Is there an issue with iFrame and Target?

I've tried both inserting and embedding this into a Script Editor Web Part,

<iframe id="myIframe" src="http://#" height="200" width="500">
<p>This is my iframe</p>
</iframe>

Then within the main content area I need a number of links to open in this (iFrame) location

e.g.

<p>
When you select <a href="http://#" target="myIframe">this link</a> it will open a new document inside the above window.
</p>

However as soon as I save the changes, the 'target="myIframe" is removed. and the link opens in a new window. 

Am I do something wrong or do I need to approach this via a different method?