No, I usually rush to take Susa.
There are a number of reasons why this is better than any other target.
Firstly Susa is pretty much alone out there, when you take it the Parthians have to march a long way to get to you, so you won't get trade disrupted as much. Secondly you eliminate an early threat of horse archers, that is vital as you have neither archers or cavalry in any sort of effective way. Thirdly it is a rich city, and again its remoteness will help you a long way towards safety.

I usually also take Palmyrra early to get another buffer against the Egyptians, also it is nice to have it should they take Damascus. Halicarnassus is not a bad try, but bring lots of ranged troops as you will be facing Cretans, and they rip your Militia Hoplites to pieces. Consider it a bonus objective.
After that I usually take to the field against the Egyptians and try to beat them there (but leave enough at home to defend in a siege should my armies get crushed).

At that time the Armenians should be gunning for Hatra, should be no problem for you if you have rushed in some Militia Cavalry.

Pontus would likely also be attacking you, but you have this nice defendable mountainpass so again you should be able to keep a defence while you deal with the Egyptians.

Onece you have taken Sardis and Jerusalem it is time to deal with the others, preferably Pontus, who would most likely have expanded most (Ancyra if you have not taken it and Nicomedia). The Greeks might be trying to attack you but ignore them for the moment and deal with Pontus. After that take Pergamum from them and you will have no problem.