Some inequalities for generalized proportional Riemann–Liouville fractional derivatives (RLGFDs) of convex functions are proven. As a special case, inequalities for the RLGFDs of the most-applicable Lyapunov functions such as the ones defined as a quadratic function or the ones defined by absolute values were obtained. These Lyapunov functions were combined with a modification of the Razumikhin method to study the stability properties of the Cohen–Grossberg model of neural networks with both time-variable and continuously distributed delays, time-varying coefficients, and RLGFDs. The initial-value problem was set and studied. Upper bounds by exponential functions of the solutions were obtained on intervals excluding the initial time. The asymptotic behavior of the solutions of the model was studied. Some of the obtained theoretical results were applied to a particular example.