The Filter command is already assigned to Ctrl-Alt F, but that might be as close as you can get.
The best way is to create a macro and assign it to a key or customized menu.
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I use a couple macros to set the filter to my liking. I assign them to a keystroke in the Customize menu.
This one sets it to Comps, traces & vias:
SelectionFilterDlg.SelectionObjectsDlg.Parts = true
SelectionFilterDlg.SelectionObjectsDlg.GluedParts = false
SelectionFilterDlg.SelectionObjectsDlg.Traces = true
SelectionFilterDlg.SelectionObjectsDlg.Vias = true
This sets it to everything including the board outline:
SelectionFilterDlg.SelectionObjectsDlg.BrdOutline = true