I think this question is out of date by itself. At the moment ( rmarkdown V1.4 / knitr V1.15.1), knitr automatically follows the advice of this issue and automatically includes
\usepackage[utf8]{inputenc} \usepackage[T1]{fontenc}
in the preamble to LaTeX (caution: this means that your document editor will have to use UTF-8, but, for example, RStudio does this by default).
Then it works as expected:
This is not a panacea, as many scenarios still require more skill (I tried Korean, Chinese and Japanese). See here to start reinforcing the preamble if you need more varied fonts.
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