Hm, well given your character I think it would be hard to make him fit in the real world if that's what you want. Maybe it'd work better if instead of a warrior he were a modern explorer? Like, exploring ruins and legends something like Atlantis: The Lost Empire. That could even work for the whole bored with life aspect, like maybe there are no more dangerous ruins to explore. As for home city, I think it'd make sense for him to be from a modern city that he leaves for adventure. I'm not really sure it matters what specific city or country he's from unless there's some cultural element you have in mind. But the most important part is to just start thinking of you characters and start writing just to see what comes, at least that's always what works best with me. I wish you luck with your story!