Alexander is just far enough back in history that we have very few primary sources on his life. Most of the biographies we have of him were written at least a couple hundred years after he lived, so everything has to be taken with a grain of salt.

There is a famous anecdote about Alexander visiting the great philosopher Diogenes of Sinope. Diogenes is known as a founder of the Cynic school of philosophy, and was famous for living on the streets like an animal, often pleasuring himself and generally flouting the laws and norms of the day. Supposedly, Alexander walked up to the philosopher and told him that he could have whatever he wanted, and Diogenes replied that he wanted Alexander to stop blocking his sun, showing his disdain for authority.

This may or may not have happened, and there are many different versions of how it all transpired. But Alexander was taught by Aristotle and had an interest in philosophy. If he was to look up to someone, there's a good chance it would have been a prominent philosopher.

Edit: Forgot to add an important other (possibly/probably apocryphal) anecdote, namely that Alexander supposedly said "if I had not been Alexander, I would have liked to be Diogenes."