Solution found (via Google Gemini, since neither Chap GPT nor Claude could do it).

The correct argument to chage was tf :

PT.pretty_table(
        io,
        portfolios;
        backend = Val(:latex),
        show_subheader = false,
        alignment=[:l, :c, :c, :c, :c],
        formatters = PT.ft_printf("%1.2f"),
        tf = PT.tf_latex_booktabs
    )