1. Although infinitive and gerund forms are both basically correct(although a quick web research seems to be pointing towards infinitive as being more popular), this particular sentence just sounds odd to me. It might be because of the use of "walked"; I'm not sure why it doesn't sound right, though, it might be just me.
2. It depends on what you have in mind - "to be concerned about sth" means "to be worried about sth", whereas "to be concerned with sth" means "to be involved with sth". I would probably add "more" before "concerned in this sentence.
3. Seems like it should definitely be "the Picassos".
4. I'd go with the first one.