Hacking theme core is not a good practice. But, here is the quick solution,
Open theme-slider.php
file (it’s in graphene/includes directory) and scroll to 158th line. And replace,
<a href="<?php echo $slider_link_url; ?>"><?php echo $image; ?></a>
with
<a href="<?php echo $slider_link_url; ?>" target="_blank"><?php echo $image; ?></a>
You’ll need to edit this whenever you update the theme. However let me check if it is a good idea to add option to open links in a new window.