I think it would be difficult to find a material that would remain buoyant at all depths. Even a hollow handle (or helium, as was mentioned) would eventually compress at some depth and sink, just as the air in your tank and BCD does. I wouldn't personally recommend a lanyard as I wouldn't want to get caught in a swell of current and have a sharp object dangling around uncontrollably. I've never lost my dive knife but then I've never had to use it either. As dive knives are rarely ever really used except in spearfishing to dispatch fish, even the cheapest 300 series stainless knives, which isn't really a knife grade, are accepatable. Just buy cheap and if you lose it, oh well. Just my thoughts.