Thanks a lot! I struggled with this for a long time and your post directed me to the precise place 
It worked for me, too.
I am using a Mac and in my case the file is here:
/System/Library/Frameworks/JavaVM.framework/Versions/1.6.0/Home/lib/security/java.policy
In my case I was trying to connect Mule to a JMS queue in weblogic and this was the error I was getting (it might help someone):
Code:
org.mule.api.MuleRuntimeException: MBeans Failed to initialise
at org.mule.module.management.agent.JmxAgent$MuleContextStartedListener.onNotification(JmxAgent.java:651)
at org.mule.context.notification.Sender.dispatch(Sender.java:40)
at org.mule.context.notification.Policy.dispatch(Policy.java:128)
at org.mule.context.notification.ServerNotificationManager.notifyListeners(ServerNotificationManager.java:214)
at org.mule.context.notification.ServerNotificationManager.fireNotification(ServerNotificationManager.java:167)
at org.mule.DefaultMuleContext.fireNotification(DefaultMuleContext.java:375)
at org.mule.DefaultMuleContext.start(DefaultMuleContext.java:188)
at org.mule.tck.AbstractMuleTestCase.setUp(AbstractMuleTestCase.java:421)
at junit.framework.TestCase.runBare(TestCase.java:132)
at org.mule.tck.AbstractMuleTestCase.runBare(AbstractMuleTestCase.java:283)
at junit.framework.TestResult$1.protect(TestResult.java:110)
at junit.framework.TestResult.runProtected(TestResult.java:128)
at junit.framework.TestResult.run(TestResult.java:113)
at junit.framework.TestCase.run(TestCase.java:124)
at org.mule.tck.AbstractMuleTestCase.run(AbstractMuleTestCase.java:262)
at junit.framework.TestSuite.runTest(TestSuite.java:232)
at junit.framework.TestSuite.run(TestSuite.java:227)
at org.junit.internal.runners.JUnit38ClassRunner.run(JUnit38ClassRunner.java:79)
at org.eclipse.jdt.internal.junit4.runner.JUnit4TestReference.run(JUnit4TestReference.java:46)
at org.eclipse.jdt.internal.junit.runner.TestExecution.run(TestExecution.java:38)
at org.eclipse.jdt.internal.junit.runner.RemoteTestRunner.runTests(RemoteTestRunner.java:467)
at org.eclipse.jdt.internal.junit.runner.RemoteTestRunner.runTests(RemoteTestRunner.java:683)
at org.eclipse.jdt.internal.junit.runner.RemoteTestRunner.run(RemoteTestRunner.java:390)
at org.eclipse.jdt.internal.junit.runner.RemoteTestRunner.main(RemoteTestRunner.java:197)
Caused by: java.security.AccessControlException: access denied (javax.management.MBeanTrustPermission register)
at java.security.AccessControlContext.checkPermission(AccessControlContext.java:323)
at java.lang.SecurityManager.checkPermission(SecurityManager.java:568)
at com.sun.jmx.interceptor.DefaultMBeanServerInterceptor.checkMBeanTrustPermission(DefaultMBeanServerInterceptor.java:1824)
at com.sun.jmx.interceptor.DefaultMBeanServerInterceptor.registerMBean(DefaultMBeanServerInterceptor.java:310)
at com.sun.jmx.mbeanserver.JmxMBeanServer.registerMBean(JmxMBeanServer.java:482)
at org.mule.module.management.agent.JmxAgent.registerStatisticsService(JmxAgent.java:330)
at org.mule.module.management.agent.JmxAgent$MuleContextStartedListener.onNotification(JmxAgent.java:641)
... 23 more