In the most basic sense, in order for something to float in water it has to weigh less than the amount of water which it displaces.
Steel is considerably heavier than water, so on an average sized knife the handle would have to be both very light and very large (as well as not absorbing water) in order to get you positive buoyancy.
This means that it would most likely have to be made out of some sort of closed-cell foam or similar material which would quickly deteriorate in actual use.
This handle would also have to be very large. Think about how big a baloon full of air (an ideal practical float) would have to be in order to support the weight of a knife. Unless the handle is foamed with a gas such as helium or hydrogen it is not going to be more efficient than this baloon because much of the internal volume will be the polymer rather than the gas, and therefore is going to have to be even bigger.
If you are unwilling to tie the knife to yourself for some reason you could try attaching a supplementary float (block of foam) through the lanyard hole with strong line, but it would be awkward to have a big chunk of foam hanginf off you blade.
