I've been living a quite bizarre and pretty depressing situation the last few months. I'm currently interning as a financial engineer, and to make it short and blunt and without being too arrogant, the one who's supposed to supervise me, and has a few years more experience, is clearly less skilled than I am. 

It is not what is causing a problem for me as I'm working independently of him and I am able to finish most of my tasks very quickly and interact with the other teams. The problem is that others too have noticed that I'm far more skilled than he is and won't hesitate to joke about that in front of him and that I'm accomplishing more milestones than him (note: I am of course not taking part in the jokes and I don't find them funny).

This makes him clearly feel bad, and guess what, he redirects his frustration towards me and will start acting stupidly around me. Last time, for example, he shouted that I'm too slow and that I should have already finished a particular task, and it was weird having to tell him that I had actually already done it. He would also try to keep me away from the interesting projects by flooding me with uninteresting low-quality IT tasks that have nothing to do with my internship. He would also dissuade others from including me in challenging projects and sometimes even kick me out of the loop if we're both in. 

Also, sometimes he will try to enforce his authority and boss me around like "here's how you should do this and this" in front of everyone although the task is trivial and everyone already knows that I know how to do them (because I already did them multiple times), maybe in a bid to convince himself and others around him that he's teaching me something.

How can I handle the situation? I could just pretend to be weak and avoid all the problems, but it's against my nature. I just can't play stupid and erase myself to allow him to shine for a brief moment. Is it risky to try to talk to his boss or the HR about the issue?