There is a shorthand that I use that is not very time efficient, but fits on a single line:
Set<String> h = new HashSet<>(Arrays.asList("a", "b"));
Again, this is not time efficient since you are constructing an array, converting to a list and using that list to create a set.
When initializing static final sets I usually write it like this:
public static final String[] SET_VALUES = new String[] { "a", "b" };
public static final Set<String> MY_SET = new HashSet<>(Arrays.asList(SET_VALUES));
Slightly less ugly and efficiency does not matter for the static initialization.