First of all if I were lost I would want to be found, preferably as soon as possible. If you can find your way out then you are not really lost, just bewildered for awhile. As most experts will tell you, if you are lost don't wander about aimlessly. Stay put and build a fire or some other signal so that someone can find you. Since no one will start looking for you until they realize you are missing, you can expect to stay put for at least 24 hours and perhaps days. Depending on the place and situation, shelter from the elements may be needed while you wait. Cold or heat can kill in fairly quick order. Water is more important than food because dehydration hits harder and quicker than starvation. So in such a situation the primary elements of survival are signal, shelter, water. Food may be important if the wait exceeds a few days.
While a small knife would be helpful in such a situation, it would not be optimal. Most survivalists recommend knives in the 7 to 8 inch range. You can use a knife of this size to build a signal fire or make an SOS sign in the sand or dirt. A medium sized knife can also be used to quickly build a shelter (if materials are handy) and dig trenches for water run off or holes under rocks if no shelter material is available. It can also be used to dig and construct a snow shelter and chop ice to obtain water. Again, depending on the place and situation, a larger knife can be used as a weapon in pinch, or lashed to the end of a pole to produce a spear to procure food.
So, if it were me, and I was lost during the summer months, I would have a Busse Fusion NO with a satin finish. The satin finish would allow me to use the blade as a signal mirror if needed. If I were lost during the winter months, I would carry a Swamp Rat Camp Tramp or Busse Basic #7 because the Resiprene handles will not frostbite your hands in subzero weather.
Also I always take it with me when I go into the woods so I probably would have it. But I usually have at least one other knife on me too.