Everybody already mentioned the biggest riches were in the East, but let's assume he went West nonetheless.
I'd say he's up for the challenge. He inherited from his father the finest army of his time, and showed incredible capacities to adapt to new situations on the field.
Sicily and Magna Graecia? No problems. Etruscans? No problems. Rome? No problems (no matter what you say, Livy). He may have some tough time in central Italy against the Samnites, but ultimately, with scorched earth tactics, he could break them. Going further in Gaul and Spain would have presented very little interest to him, but he could have conquered the coastal parts before his logistic lines start to stretch too much.
Carthage would have been the biggest prize, and saw some epic battles. He would have to set up a navy first, which wasn't his forte, but being Alexander the Great, he would have found a way, or made one.